To be blunt (but not to be mean), RTFM or google it. There are lots of ways to do it, and it all depends on the capabilities of your devices, OS, browsers and whether or not you want to use apps to manage it. And again, I'm not trying to be mean, it's just that the question has the same effort as "how do I make food?". I could give you the most gourmet answer and it may not help.

But to answer as simply as possible: Most browsers can do cookie whitelisting out of the box. Just be aware that it doesn't prevent cookies outside the browser or outside the device - so if you have (for instance) a smart tv, you'll need other solutions. And the solutions snowball from there, so I will leave it at that.