Your steps are sound ones, I would do some of them in a different order. As was suggested, get your domain name first.
I would also subscribe to some print magazines such as: iGB Affiliate, egambling review and any others you can find. Join some sites like eCobra that will lend some credibility to you and your website if you become a member. Join as many gambling fourms as you can and keep up with sites like CAP that will keep you informed.
Oh yea, keep asking questions!