I have a contact "Blocked Telemarketers" for exactly this purpose. Every time a new one hits me, I just add its number to this contact. Trivially easy.
What I really want though is a very simple feature. I don't want my phone to accept phone calls unless the number is in my address book already. Its so straightforward and already implemented in other communication mediums, I do not understand why it is not a feature yet.
Just one vendor including this feature would force all of them to.
My parents do this the old fashioned way. They don't pickup unless they recognize the number.
In fact, my colleagues do the same, and this has actually caused problems for On call if the colleague calling at 4am isn't in the callee's circle of friends.
Tap and hold on the number in your call history, and "Block caller" is right there!
Unfortunately, the "and hold" bit is rather hard to figure out. (And I started out knowing it could be done, but not how.)
There are some serious discoverability problems with the latest wave of pretty interfaces.
I've got quite a long list of blocked sales numbers, mostly Virgin Media and Three.
One example is Xiaomi's MIUI [ http://en.miui.com/thread-118672-1-1.html ]: "MIUI Call Blocker - How to Block/Unblock Contacts ?"