I have my own domain and just do <website-name>@mydomain.com and redirect everything to the same inbox sorted in folders.
Works pretty well, if any of those addresses gets into some spam list I just block it (hasn't happened yet, though)
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Catch-all (*) setup is the best, until a spammer hits a gibberish localpart (on purpose) and your domain cheerfully accepts it.
Don't get me wrong, I use catch-all too (don't tell spammers).
I whitelist using regular expressions (specific prefixes mostly). Gibberish and random localparts are unlikely to match those, it effectively never happens.