So is it wrong to deny someone who's interested in you a chance, or is it worse by leading him on thinking he has a chance while telling yourself to give it a try? Which is the lesser of the two evils?

You tell him you're really not interested without even letting him have a try, cause you were being honest & simply did not want to hurt him in the long run. You do not want him to have false hopes, and therefore the honesty.

Or,

Should you lead him on, thinking that maybe, just maybe things will work out & apologises when all else fails?

what do you think?