Lemmy.ml has now blocked Threads.net
Currently you can with with Lemmy Connect. Maybe with others as well, given the amount of apps coming out by the day. And I’m guessing they’ll fold the feature into Lemmy/Kbin proper sometime in the future.
My (limited) understanding is that if you (we) block other instances locally, that won’t stop meta (or whoever) from accessing your (our) information and posts.