Create affiliate banner link which redirect first to your site.

Hello dear members,

I am newbie in the affiliate programs. I have heard that it is not so good to use a banner with a direct affiliate link which links to the affiliate website. The best thing is to use a banner on 3rd website with a link to one empty page on my website, and from that page to redirect with my affiliate link to the affiliate website.
What I ask is:
Is it good todo?! If yes, how do I do it?

Thanks a lot in advance for any help I get from you friends!

Have a great day !

Best Regards,
Ronybig