If you don't want to default a delivery block on every one of that customer's orders (which you can do in the customer master record), then when DO you want to block them? Your question is a little unclear.
Without coding any user exits, and without "changing the master data every time", you can do one of four things: 1- don't block any orders at all, 2- default a delivery block for all orders of a certain order type (which can be removed if necessary in the order), 3- default a delivery block into every order for a given customer (which can be removed if necessary in the order), and 4- manually block individual orders by setting the delivery block in the order as you create it. There may be even more options which escape me right now, and then there's the user exit route for more complicated requirements.
I need a way to block a customer's order from creating a delivery. But I do not want to change the master data every time. How can I do it ?