Some further searching turned up this post that seems to indicate bad news in this regard. Looks like I will have to direct clicks to my own website and then have my affiliate link there (on a review, or even just redirecting the page, right?). I bought a little domain in my niche (just a .us one) so that I could set up cloaked/masked links through it for this purpose. I have already set up a WP blog on it to put up reviews, but really it's just a domain I nabbed for under $4 that I want to use to promote ClickBank products in my niche.
Until I learn a way to use affiliate links directly in AdWords, I'll be sending traffic to my site first.
I wonder if this is what people meant when they talked about having to convert a visitor twice.