I do the same thing, and it really doesn't take much. I've been blocking 3rd party cookies for over a year now, and the only one I had to add was rememberthemilk, so that I could include my TODO list in a GMail widget.

It's pretty simple, really: Edit Preferences -> Privacy -> "Firefox will: Use custom settings for history" -> <uncheck> Accept third-party cookies. To add an exception, click "Exceptions..." on that same page, type the domain name, and click Allow.

You can still receive normal cookies, but now third-party sites can't track you unless the sites you're visiting are sharing data server-side.