I have BOTH Ghostery and Cookie Stumbler installed on a MacBook Air running 10.8.2 and Safari 6.0.2.
Cookie Stumbler reliably finds dozens of tracking cookies after only a few hours of browsing, Ghostery notwithstanding! I can clean the tracking cookies and 'black list' the websites but that's a battle that one could do several times a day and still wind up with lots and lots of tracking cookies, every day. Maybe Ghostery is preventing those cookies from doing any communicating with third parties, but Ghostery is NOT preventing tracking cookies from being installed!
Safari is set to 'ask websites not to track me', too. I have serious doubts about whether that particular setting (in Safari) does anything at all -- it sure as heck doesn't block tracking cookies from being installed.
The only thing I haven't done is to block cookies entirely, in Safari. I haven't done that because there are several websites that are password protected and I don't want to remember/enter the passwords every time!
But I don't believe I have come accross ANY browsing setup that (a) blocks all tracking cookies, all the time and (b) can be set to allow only specific password cookies to be saved.
I'm no expert and would welcome any input...