Setting up a simple website is cheap, compared with the gains that can be made if you already have customers lined up.
The big danger is looking like a spammer to the affiliate manager. I have joined a couple of schemes, and they always have a section where you list your websites.
Without a website, you will have to prove to them that you are not going to spam.
Not having a site can be a problem, as most schemes give you personalised banners, with a tracking tag, and a simple website is the best place to host these. They can also be included in HTML Emails, however, many players do not like directly downloading from Emails (security risk), and may well follow general advice to type the site name directly into the browser and go from there - and here's the problem, if you have no site of your own, they will type the casino website's URL, and this will NOT track their sign-up to your affiliate tag, and you won't get paid.
Many casinos operate a "refer a friend" scheme, although the potential payments are nowhere near as good, often a miserly $25 finder's fee, with your friend getting a similar free chip.
Look into your ISP contract, many provide a small amount of webspace free with the account. This can be used to host a small referral website for your friends, although it will not have it's own URL, but would be a page on the ISP's site, for example, hxxp://www.myispservice/userpages/mypages.
I got my own site for 35 or so, and an annual fee of under 20 to keep it going, so not at all expensive, even for just having it as a hobby.