As far as I know, Lemmy Connect is currently the only way for individual users to block instances themselves. Sure, you can do this if you host your own instance but not everyone wants to go to that length.

Specifically, you'll need to go into Settings, in the app, and tap on Blocked Settings, and from there you can manage your blocked instances, as well as communities and users.

I want to also mention that Lemmy Connect has the ability to tag users. Super useful with all of the bad actors that are creeping in.

EDIT: Unfortunately it seems blocking instances is broken in the current version, 1.0.68, but the dev has been updating practically daily recently so I think there'll be a fix out soon.

EDIT2: And it's fixed.