Way 1 · best default
Sorry, I'm not following
Polite and soft. It says you've lost the thread, not that they explained badly.
Examples
Sorry, I'm not following. Which form do I need?
Sorry, I'm not following. Can you go back to the part about the bus?
In a conversation
A: So you go left at the lights, then it's the second right after the old church...
B: Sorry, I'm not following. Left at the lights, and then?
Common mistake
Not: I don't understand what you say.
Say: Sorry, I'm not following.
"I don't understand what you say" can sound like a complaint. "Not following" sounds softer and friendlier.