I'm building blocklist and I can't find a good tutorial or guideline for it.
I've tried the ||example.com^ and the 0.0.0.0 example.com setup and I don't know if they work at all or if I should just put the domain.
Can you help me ?
The normal format uses just the domain, one per line.
Pi-hole also accepts lines starting with an IP (like 0.0.0.0 example.com), but the IP will be ignored, so you don't need it.
This is called ABP format (Adblock Plus format). It will block example.com and also every subdomain (like www.example.com, webmail.subdomain.example.com, etc).