yes and no.
yes, it is possible to add all the blacklisted ip's directly into your firewall. but its not feasible. there are thousands of blacklisted ip's and it would require major work to keep your firewall updated and some pretty heavy work for your firewall to check each connection against thousands of blacklisted ip's.
the way the dnsbl's like bopm work is actually pretty simple. say you are on ip 184.108.40.206 and you want to connect to my machine. when you try to connect, my machine does a dns lookup on 220.127.116.11.opm.blitzed.org. basicly, any result back from that dns means you are listed in the dns blacklist and i should refuse your connection. if that dns fails, then you do not exist in the dns database and you are clean.
the problem is that it is notoriously difficult to get a hold of the whole dns database, to hand that out would be effectively handing out a list of thousands of known proxies to anyone who wants them. thats why they only usually allow lookups in the database, rather than the database itself.
depending on what your 'anything else' is, you basicly need a method of collecting the ip address of each connection, then doing the dns on it, if it appears in the dns, then you disconnect it (you could just add the ip to the firewall and block it, then leave its open connection to time out, but that would be incredibly messy)