Is there a way to create a MySQL/Percona Slave without using a dump?
Something close to what you're asking can be done with mysqldump. You can stream its output directly to the slave.

# mysqldump -h master -A --master-data --single-transaction --quick | mysql -h slave


mysqldump will add CHANGE MASTER TO to the output. However, it doesn't include MASTER_HOST, MASTER_USER and MASTER_PASSWORD. It has to be configured separately.

# mysql -h slave -e "CHANGE MASTER TO MASTER_HOST='master',
  MASTER_USER='repl', MASTER_PASSWORD='replpass'; START SLAVE;"


Additional notes:


You can run the abovementioned command on the master, or slave or any other host. Note the -h option in mysqldump and mysql. See mysql Options.
The master is not down when you're taking a dump.
There will not be any binlog ID issues because no matter where you run mysqldump -h master, the dump will come from the master. Respectively, the binlog coordinates will point to the binlog on the master. 
The defaults will cause InnoDB tables to be table locked, that is unless --single-transaction is specified which negates the requirement of a table lock for a consistent dump.
Using --quick will ensure large tables are read one row at a time rather than buffering the entire row set in memory, which is more conducive to this type of streaming dump.