Block any outgoing connection you don't trust instead of simply taking some 3rd party list with URLs, unverified, no quality control etc, and only blacklist these KNOWN bad urls.
Ad parties don't sit still, they don't keep their ads on the same url when they found out they are blocked or maybe already preventive rotate through new urls etc.
In the end you'll end up with some bizar long list which has to be checked for every url you visit etc etc. This will be a performance hog, and if you cant imagine that, then your list isn't long enough yet.
Use proper egress filtering, allow what you know, and don't allow what you don't know, not just what some 3rd party put on a list.
My advice for you in 2018.
For ""Block by default" is a usability nightmare."
yes it is for a week or 2, but I prefer usability nightmare then a safety nightmare.