Hello,
I know that mikrotik is not such nextgen FW but is there some efficient way to block internet traffic and allow only thats real need (i have a list).
You can deny all traffic from and to the internet.
After that, you allow the traffic you need, according to your list.
In other words, no information given, no help to get, as simple as that!
The problem is very often that “a website” these days has all sort of content fetched from different sources. So you would allow 1 domain or IP, but your client will fail fetching dozen of content items along the way.
It will be very much “trial & error” 
Any advice how to do it 
As stated, your request is not all that clear.
By default all WAN to LAN is blocked except for dstnat traffic.
WHen one rejigs the firewall rules its usual that people modify the rules to focus on
a. allow needed traffic.
b. last rule is a drop all else rule ( in both forward and input chains )
So what is it exactly you wish to block as the focus for the admin should be to allow authorized user traffic and drop all else.
The MT router is not a DPI device and so one cannot block on the basis of applications etc…
The best you can do outbound is potentially
a. only allow users to certain public IPs ( limited in applicability but could be useful for niche cases )
b. only allow users to use certain ports outbound ( and since most traffic is on 80/443, this approach is not all that useful either)
Aside from wanting to hurt yourself with bullshit (not censored on purpose, this time),
the most logical thing to do is to allow all the traffic that is done by a “clean” device,
and the traffic destination is logged and then is allowed permanently by the other devices as well.
So one device traces the routes, the others can only take the same route taken by the main one…