You don't mention the number of users or your bandwidth to the Internet so I'll make a few assumptions. I personally use Sonicwall products and while they offer that option as an add-on, I don't use it. I have used it in the past and if your looking for something very basic (and I do mean basic), it does an ok job. The main problem is that it proxys out to Sonicwall's servers for the list of sites that are blocked... yes there is some cache that gets built up on the local Sonicwall appliance, but it's not the same as having a hard drive and that drive get updated everyday with new information. They have gotten better in their new NSA line, but the technology is still the same.

Look for a dedicated appliance (tier 1) that will give you that granularity of control, then follow that up with opening a free account with OpenDNS.com (tier 2) for you outside DNS. They have content filtering at the DNS level that is great, but remember that since it's the DNS level, it's all or nothing, so blocking categories like porn, drugs, proxy bypass sites, etc... might be ok for everyone, but blocking gambling might stop someone from booking a room at a hotel in Vegas.

Then use your Sonicwall to only allow DNS requests out of your network for only your internal DNS server(s) which have OpenDNS's DNS IP addresses as their forwarders. This way your users can't use anything else but your DNS servers for resolution.