How to block UDP and ICMP

How to block UDP and ICMP for output (from me to WAN)?

As I know, Tor doesn’t support UDP and my VPN does not support ICMP. So to prevent accidental IP leak I need to block this services.

These are not services ! These are network protocols that a lot of software relay on. So blocking them won’t make you secure as it will cause you endless interruptions and troubleshooting.

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