I want to create a website for affiliate marketing. Which would convert better, making a site with articles and with affiliate links in the article OR making a site that reviews the product I want to promote.
Its really hard to say. It might depend on the niche your promoting. However, there's no reason you can't make both. Have one website for writing articles on the niche with affiliate links and another designed as a review site with the products you are promoting. That way you can corner the market so the speak.
Agreed, why not do both? There has been some speculation recently that having a lot of affiliate links on your site might hurt its rank. So, make sure you mask your affiliate links with PHP redirects (or whatever method you prefer).