I do the same - my approach was to take some of the popular /etc/hosts files (like http://someonewhocares.org/hosts/zero) and sed them into dnsmasq format:

    # before:  0.0.0.0  evil.biz
    # after:   address=/evil.biz/0.0.0.0
    sed 's#^0\.0\.0\.0[[:space:]]*\([^:]*\)$#address=/\1/0.0.0.0#'

which goes in a file in /etc/dnsmasq.d/, with this line in /etc/dnsmasq.conf:

    conf-dir=/etc/dnsmasq.d

The results can be trimmed a lot, e.g. if you have rules for a.evil.biz and b.evil.biz, you can usually reduce those to a rule for just evil.biz. I wrote some scripts to help with this, which are now at https://petedeas.co.uk/dnsmasq/. I might write something up about the process later.

Here's a nice repo with a "starting point" for hostnames and domains to block: https://github.com/notracking/hosts-blocklists