I\'m using Forms authentication and I would like to make use of roles, can I somehow set the role of the user without Membership ?
Yes you can.
The only caveat is that roles will not work with an anonymous user (fairly obvious I would have thought) and you'll need some mechanism to set a user's identity (which can be anything you like).
The MSDN article:
Understanding Role Management
contains the following information:
However, role management does not depend on membership. As long as you have a way in your application to set user identity, you can use role management for authorization.