This might already be known by most people, but one tip I learned is to look at the landing page of an advertiser and make sure there isn't a phone number on the page. You'll lose conversions for advertisers that make their phone number easy to access on a landing page (this is for bigger products that customers might want to get more info on). So, if someone clicks your CJ link or ad, goes to the landing page, and calls the 800-number and buys the product directly, you've lost the sale - and the advertiser got all of the benefit from your work.
I agree however some of my clients will instruct the caller to fill out the form or buy online in order gain the affiliate sale. Another strategy for tracking sales from affiliate is using a deticated 800 number for top affiliates that is tracked internally.