Hello,
Check this Article:
Configuring the Symantec Endpoint Protection Firewall to filter traffic based on whether its source/destination is from a particular domain
http://www.symantec.com/docs/TECH131681
IPS custom signatures are checking single data packets for a defined pattern. Firewall rules allow or block traffic depending on IP addresses, ports, applications etc.
To block a website, firewall rules are easier and more reliable. IPS custom signatures are very flexible but error-prone. Furthermore, the main purpose of IPS custom signatures is to fight exploits.
To prevent users from using web proxies you could block all known web proxies by a firewall rule. I think it's not a good idea trying to block facebook with a single IPS signature. For example, if you block all traffic with the pattern "www.facebook.com", there may be strong side effects because every site with this pattern in it will be blocked. You have a ton of "false positives" then.
Here is an interesting discussion of this issue:
http://www.symantec.com/connect/forums/how-block-proxy-sites-through-custom-ips
Blocking a Website using Symantec Endpoint Protection:
http://www.symantec.com/docs/TECH92405
Hope that helps!!