I admire musicians. I admire good musicians. OK, I admire good musicians who are smart.
Some time ago I met a really good musician who wasn't very smart. He refused to "sell out" (his words) and sell anything at his shows. He wouldn't even sell CD's. His audience always asked for them and he'd direct them to a website managed by his promoter.
When someone wants a CD you have to get on that while they are willing. Later that night or tomorrow they are not likely to even remember to visit that site. Plus, when someone wants to give you money, you need to make it easy for them. I worked a merch booth with a very smart girl who would just ask if they wanted a t-shirt and CD. Most of the time the person would say yes. There was no discount for buying both, but when asked most thought it was a good idea.
So always have CD's to sell at your shows. T-shirts are good too. Women's shirts are cut different, and are definitely appreciated. Most artist say they sell girl shirts 2 to 1 over regular t's. That's up to you, but if you pay attention at your shows you'll know what sizes to order.
If you're not selling merch, you are turning your back on money.