Telecom Italia locks my DNS server (I cannot change it).

I ended up using PIHole as DHCP, to drive home devices to PIHole, and control my privacy.

The trick is simple: disable DHCP on your router, and activate it on PIHole. As a bonus, PIHole on my RasperryPI2 is way faster than the little chip on my provider Router, and can be patched automatically with unattended upgrades.