What if I don't do qemu-img?
Just straight-up qemu-system-x86_64 -cdrom supercoolisofile.iso -boot menu=on
Will it launch like a temporary VM like Windows Sandbox? Like when you close the QEMU window, the VM is permanently gone? I hope so..
You are not required to have hard disk images to start qemu. If you start qemu without one, it's practically like booting up your PC with no permanent storage device connected. When you exit qemu, nothing will be left behind.
However do notice that if your aim is to install an OS to play around with, there will be no places to install it. In this case you might want to create an image to hold the installation, then on the next boot use a snapshot of it which then can be reverted into its virgin state.
One good example for using this hard disk imageless virtual is testing out Ubuntu Live CDs, that will happily work this way.