I always made it point to thank my sub afterwards for using a safe word. So she knew she had not done anything wrong and also understood I would be upset if she didn't use her safeword when needed.
I agree with Ozme52, only one word is needed. However just not the word "mercy" since that can be used as part of a scene.
@WyldWyl, what is the difference between yellow and blue then ? Forgive my ignorance but I thought yellow was a pause, to adjust for cramp or the like.