That's how I've got my browser configured, but I'm also blocking third-party cookies. To be fair, though, you really ought to fully block most third-party requests, not just cookies; there are other methods of identifying you than tracking cookies (e.g. fingerprinting). I use RequestPolicy to do this. Ideally, you should use Tor (via the Tor Browser Bundle or Tails) whenever you don't identify yourself and aren't using torrents; then any tracking that might be tried on you is pointless, since you're anonymous.

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