No, you don't have to have a domain already before setting up Concrete on your web host / server.

In your dashboard, look for "Extend" or "install" functionality. At the bottom of the page, you'll see a "Connect to Community" button. From there, you just sign into your Concrete account, and it will automatically be added as a project.

Then, whenever you have your domain ready, simply set the nameservers to your web host (your web host provider can help you with this).

Thanks but I'm still a loss. I currently have a site that I'm working on and which is connected to the community with a project. The only dashboard I can use is my current site's dashboard. When I click on connect to community it just connects the current site and goes to the current project.

Any ideas?