I use a combination of the built in firewall (I think there are apps which can talk to it and give it greater control, but I don't bother with those.. and Little Snitch which is pretty good for controlling what goes out.
https://www.obdev.at/products/littlesnitch/index.html
Theres another called Hands Off which I havent used. I believe its just as good as LS. There are some who say its better/easier
One Periodic - Hands Off! - Increase the security of your Mac