I'm scared of making roux. Hot oil=Scary! Can I use just flour instead of roux when making gumbo? Will it thicken the soup in a similar way?
I wouldn't recommend it.
Dark roux is actually a pretty weak thickener compared to a light roux. As you get darker, it's more of a flavoring. Flour on its own gives an obvious raw flour taste.
As an alternate method to make darker rouxes, search for 'oven roux', where you're working with a more easily controlled, even heat, as opposed to something that you have to keep stirring.
If you're still scared of roux even after that, I'd recommend a slurry of cornstarch or arrowroot over plain flour.
You don't have to thicken things with a roux, and a roux doesn't have to be made with oil. A French roux is made with butter (this is how I usually make it).
Other options for thickening include a slurry (flour well mixed with cold water or milk), corn starch (also mixed with cold water first), a Beurre Manié (a paste of butter and flour), or depending on the application, gelatine, arrowroot, xanthan gum, or any number of more exotic thickeners. Each thickener has its advantages and disadvantages, as well as different flavor profiles.
In your case, you could just make a Beurre Manié and cook it into a roux without much danger of hot oils.
When you make your roux, the slurry of flour and hot oil (lard tastes better) does not have to done at an extremely hot temperature. Just make sure you have the flour and oil/lard mixed well before adding other liquids -- for a good gumbo you'll want to use about a cup of coffee (black, and preferably with chicory - Café Du Monde, or my favorite Community Coffee).
You can thicken using just flour. HOWEVER, you must brown the flour first to prevent the raw taste of uncooked flour.