@Stephen leslie - Re: Some steps
A very useful list, thanks.
One thing I noticed, though :
Turn off Cortana and instead search locally, otherwise everything is sent to Bing.
Done that but I found that even on a local search the thing connected to Bing, sent it a packet of data and got a whole load of packets back. Looked suspiciously like it was sending the search request in anyway.
So blocking in the Hosts file seems the only way - can't trust the UI to actually do what you want.