I thought I read somewhere that if you opened a SPG AMEX card account and didn't have a SPG account that they would open one up for you to deposit the points. It might have also been on the application too.
Just found this on the online application.
<font face="Verdana, Arial, Helvetica, sans-serif" size="2">Required if existing Starwood Preferred Guest member. If you are not a Starwood Preferred Guest member you will automatically be enrolled upon approval of your credit card application).</font>