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System Preferences > Security > Firewall only gives you the option to "Allow Incoming Connections" to applications of your choice. My understanding is that Mac OS X does not have a built-in way to block "Outgoing Connections" on a per application basis.

What software have you installed on clients to provide this functionality, and how well/poorly has it functioned?

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up vote 8 down vote accepted

ipfw is installed by default and you can customize the rules if necessary to block outgoing connections. There are some GUIs available to customize ipfw available (eg. WaterRoof or NoobProof by the same developer for a simpler experience)

For the most user friendly I use and recommend Little Snitch hands down. I've been using it for years and it's excellent. The Network Monitor feature can be very useful but is quite RAM hungry.

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I wanted to revisit this post, although its nearly a year old, simply to say I am a total Little Snitch fan boy now. Love it. Couldn't live without it – username Jan 17 '11 at 17:40

Little Snitch, by far, the best.

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You can learn how to configure the BSD "ipfw" if you wanted to use only built-in software. Or you could install something 3rd party such as Little Snitch.

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Little Snitch every time. Cost-effective, easy to set up and does exactly what you need it to.

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