Can anyone help me with the Hosts file?

I'm bullet-proofing my new Mac. I want to set up a Hosts file before I ever even open Safari. I downloaded Gas Mask, and I have a decent hosts file, but I don't know where to put it, whether it kicks in on all logins (i.e., right at boot up) or if it has to be put somewhere for each login, I don't know what the extension should be, and I don't know whether Gas Mask automatically puts it in the right place. Also, I really want to test it by putting a dummy IP address in it (for something like Amazon) and seeing if it effectively blocks Amazon. How do I do that? The problem with going to stackoverflow etc. for these queries is that they know too much. I need an ELI5 on this, if anyone can help. Thanks! 2015 MacBook Pro retina, latest version of Sierra.