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You could set a preference to be prompted to accept or decline cookies for sites before they loaded. The current implementation requires you to first load the page (and consequently accept their cookies) before you can go in, delete them and/or choose to decline them in future. The former method was more hassle in terms of being prompted lots of times until you had visited enough of your usual sites for it to not occur very often any more (only when visiting sites outside of your default set), but the latter method means that you have no choice as to whether a cookie gets loaded before you can delete it and is also much more labour intensive as you have to click a lot more to get rid of them once they have been loaded.