Our IA department is in the exact same situation. During every audit, we stress that we are here to help, we are on their side, etc. Most of the time the line-level folks appreciate us taking time to really understand what they do day in and day out. Some act like we are a pain, but oh well. Personally, I try to make fun of the "Oh no, here comes the auditor." knee-jerk reaction.
After all of our efforts, I have recently been informed that some management level people don't think we do as much to help as the Compliance Officer. Their perception is misguided. The Compliance Officer is a member of management and does not audit any compliance area. Their current responsibilities are to help develop the compliance area. Therefore, they help create and implement management solutions and there is no need for independence.
So our goal is to educate management on the appropriate roles of internal audit.
I plan to approach each entity's President/CEO and ask for a time to present a brief overview of our role in the organization. I want to focus on senior-level management. Those who receive our IA reports and are named as responsible parties. I will not mention the mispreception noted above. Rather, I will play up the fact that May is Internal Audit Awareness Month. The IIA has plenty of brochures, FAQs, and powerpoints to build a brief presentation on what we can/cannot do as internal audit.
Good luck! Unfortunately, our best allies are usually the Audit Committee members - the ones who don't work with us each day.