In the meantime I can recommend the RequestPolicy[1] add-on for Firefox. It's not exactly what you're asking for; it blocks cross-domain requests entirely instead. Since it uses a whitelist you'll have to add exceptions for the sites you use (images and stylesheets are often placed on a different domain). This takes a bit of time but I think it's worth it.
[1] https://addons.mozilla.org/firefox/addon/requestpolicy/ (the developer happens to have the same lastname as my firstname, but we're not related in any way)