EDIT: I'd like to emphasize that I don't want to suggest these words are appropriate to use; but that I think we should be carefull how we handle things like this.
Exactly ChrisJD, just because Merriam-Webster or Dictionary.com has defined these words as slang for "Jesus" or "God" does not mean that the average Christian is using them in the same vain and abusive manner.
I am not trying to discourage you, HeartSong, from bringing to light this understanding. [b]However, I am definitely trying to calm you down from using such strong language[/b].
If you approach people by saying, "when you use words like 'golly' and 'gee' you are cursing God to His face! You are ignorantly misrepresenting God and His Christ and spewing forth garbage! Repent, ye sinner! Repent from your wicked ways!"
You are going to turn people off and completely miss the point of the gospel message, especially concerning the maturing Christian life.
It is very simple, whatever is not of faith is sin. If you define these words to be vulgar then be true to your faith and conscience and personalize for yourself that these words are unclean.
If you come across anyone who calls themselves a Christian, and they often say, for example, "gee", and then you ask them, "do you know that 'gee' is a euphemism for 'Jesus'? And they say, "yes, I knew that." Then you shall have reason to give them a slap and rightly bring such strong language as "sin" and "using the Lord's name in vain."
If they say rather, "No, it is just an expression of surprise." Then handle the situation as it is -- not a sin and not using the Lord's name in meaningless jargon. Give them a simple "this is what those petty words actually mean, according to the dictionary ... etc."
As for the dinner party and the lady in question that brought this topic to mind, if she is not a born-again Christian it will not be a very convincing gospel statement to tell her she is sinning and going to hell for saying "gosh, golly, jeez and jeepers." She is going to hell because by the grace of God she needs a new heart not because of immature euphemisms that she may or may not understand to be blasphemy.
That is really the whole point. Keeping to the true heart and spirit of the gospel of Jesus Christ. Ignorance is neither a sin nor does it condemn anyone; but the Light that shines in the darkness that one despises, this is their sin and condemnation.