I use the low setting to block all 3rd party cookies. I permit cookies in my Internet and Trusted Zone, but I use a cookie manager that is part of my firewall.
However my big worry isn't cookies, its allowing scripting to sites, and only sites in my 'trusted' can run scripts.
In the advanced of the privacy tab just block all 3rd party, and permit the rest. The zone preferences will still be the rule when it comes to if you want cookies permitted or not.
I really don't even want 1st party cookies unless I allow it.
Also, I don't understand how the zone prefs will still rule when it comes to cookies. There is nothing at all about cookies in the custom level section of the zones. The only thing about cookies is in the privacy tab now.
Your right... I over looked that! I thought the setting was still there.
Maybe you could use the prompt options, and it might allow you to add them to the list of sites not permitted to put cookies on your system? It would be something to test?