That varies a lot regionally.
Plenty of people use "gipped" for "ripped off", and "Zigeuner Schnitzel" is on the menu at US German-cuisine restaurants. For once, it's us who haven't caught up with the magical outrage words.
There is a small Roma intelligentsia, university-educated and aware of those international trends, who welcomes the usage of "Roma (and Sinti)" instead of the traditional word. Among most Roma, however, it is often the case that if you use the term "Roma" while speaking with them, they will correct you and say "Don’t call me that, I’m a <local word equivalent to 'gypsy'>".
Note also that in the Balkans, the Roma generally prefer to maintain their own language rather secret, for in-group use only. I wouldn't be surprise if this extended even to their ethnonym, and when outsiders say "Roma" this sounds like those outsiders are appropriating their word.
So, I called people Indians until a Native American said to me: "I prefer Native American. Indian is derogatory." When I asked her about what my previous friends said, she said "The people who want to be called Indian are ignorant people from the reservation who don't know any better"
I think it's just best policy to ask whatever term someone prefers to use, and use that.
In my experience, they tend to stop, when you gently remind them that a very similar term that means the exact same thing, but refers to jews, has fallen out of favour in recent decades.