I agree with you, it is also my opinion is that the best way is filtering at router level, and that filtering at device / machine level should be a last line of defense and not the one we mainly rely upon. All our devices are however somehow filtered.
What sort of router do you have? Unfortunately most consumer grade routers allow only for a limited number of blacklisted websites or domains in their web interface, then again, any modern or even not-so-modern router has more than enough memory and cpu power to handle a long list, but, it takes some bother to access the device (eg via telnet) and do it manually. Do you already have a blacklist? How many entries does it have?
A hardware firewall is also a possible option.