What should one say when somebody ask our Madhab, i.e. sect we belong to. Can us Salafi? As Imaam Nassiruddin Al-Baani has said it is better to say Salafi rather than just saying Muslim.

All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.

There is no doubt that it is Allaah Who called us Muslims, and this is the religious name to which every person who believes in Allaah and His Prophet should be affiliated with. Allaah says (which means): {…it is the religion of your father Ibraaheem (Abraham) (Islamic Monotheism). It is He (Allaah) Who has named you Muslims both before and in this (the Qur'an).}[22:78]. The Prophet said: "A Muslim is one from whose tongue and hands his fellow Muslims are secure." [Al-Bukhari and Muslim] So, this is the principle, a Muslim should affiliate himself to Islam and say 'I am a Muslim'. However, if he affiliates himself to As-Salaf (the righteous predecessors) and says ''I am a Salafi'', then there is no harm on him.

Ibn Taymiyyah said: 'There is no blame on whomever shows the methodology of As-Salaf and is affiliated to it and proud of it; rather we must accept that from him and there is no difference of opinion amongst the scholars on this. The methodology of As-Salaf cannot be anything but the truth.' Nevertheless, we cannot say that it is better to say "I am a Salafi" with these exact words instead of "I am a Muslim''. If a person is asked about his religion, it is not correct for him to say "I am a Salafi" or "My religion is Salafism", but he should say "I am a Muslim." Allaah says (which means): {Truly, the religion with Allaah is Islam.}[3:19]. But if one is asked about his methodology, then he may say that he is a Sunni.     

Allaah knows best.