You say in your title you want to
prevent employees from stealing work files/data
In your question, however, it's only about file shares.
Web filtering as in blocking URLs will definitely make it harder for your employees to upload files to file shares, but it will not stop them from stealing files in other ways if they know what they are doing. Your employees could instead use email, or upload the file to an FTP server, or even just use an USB stick.
To really keep them from stealing files via removable storage, you would need to disable all USB ports, disable boot from CD/DVD and lock down the BIOS.
Then you set your company's firewall to a whitelist approach so that they can only access domains you specify. Be aware, this will give your employees a hard time if they need to do lots of online research. Your IT staff will need to check a lot of URLs. If that is overkill for you, at least use a blacklist and log every URL, then disallow file uploads (limit the outgoing HTTP header size to a minimum, that will at least stop them from uploading a whole spreadsheet at once). Use deep packet inspection if you want to catch employees trying to upload small chunks of a spreadsheet at a time.
Block all traffic except on port 80 and 443 and use a firewall with SSL inspection capabilities so you make sure they don't use encryption to bypass your filters. That way you also keep them from using FTP (unless they own an FTP server and set it to respond on port 80).
Set their mail client to route all mails through the company server and, on the server, only allow attachments on mails for addresses you specify in a whitelist. Also, use your firewall to keep them from just downloading another mail client or another browser.
That said, no doubt you can make it hard(er) for your employees to take your files, but it is just not possible to really stop them. If they know what they are doing, they can circumvent almost every security measure you put in unless you set your policies so restrictive that it causes a lot of inconvenience in their daily work flow.