A system for heating a hydrocarbon resource in a subterranean formation having a wellbore extending therein, the system including a radio frequency (RF) source, an RF antenna configured to be positioned within the wellbore, a transmission line coupling the RF source and the RF antenna, and a compound current choke surrounding the transmission line. The compound current choke includes a plurality of spaced apart, overlapping, electrically conductive sleeves. Each of the plurality of spaced apart, overlapping, electrically conductive sleeves may have a first open end and a second closed end coupled to the transmission line.