But wouldn't that add my Banshee Library to my Last.fm library?
I really don't wanna do that!
Besides what Per said about playing from your Personal station, be aware that Banshee will scrobble your songs to Last.fm by default (whether you're playing from Last.fm or from your local library). If you don't want that, you may want to go to Tools > Last.fm > Enable Song Reporting and make sure it's unchecked.