Yep, AdFree rocks.
But there's a few things I've learned from installing it several times after installing different ROMs. The app is a little quirky at first. Here's what to expect...
The first time you run it, you'll be asked to give it su permission, just click remember and allow. Then press the back button to get out of AdFree.
The second time you run AdFree, it'll tell you it has updates and take you to the next screen. At the top, tap 'Download and Install Hosts'. Typically, you're going to get a Java error. Just press the back button, and tap 'Download and Install Hosts' a second time. This time, it should go through and you're all set. It'll tell you that you need to reboot, but you don't have to. I never did.
Hope this helps...