You should do this verbally, as well as visually.
You can use simple software such as ManyCam or OBS to overlay a lower third, which has your web address on it.
You can also do a simple live Q & A, where you invite your prospects to fire questions at you, about your niche subject.
You can periodically inject your URL, as you are giving answers, almost like short ad breaks in between the content.
You can even dedicate a live, specifically to building your list.
This works well if you're using a very short video, that grabs people's attention, right from the outset.
One example I used of doing this was when I dressed in shorts and and Hawaiian shirt and went out into 30 centimetre deep snow in my garden in bare feet;
There needs to be a promise of something about to happen, right at the beginning of the video.
In this video, it was clear;
I was about to do something stupid.
So the promised "event" that helped to keep people watching the video, was mainly about me being a bit of an idiot.
It was a funny, jokey video, but it did have the URL at the end and this got traffic - people visited the website.
And this was just done verbally, with me telling them the web address in the video.
After the Facebook Live had started to get traction and people had reacted to it, I then posted the direct link as a comment underneath.
BONUS PRO TIP:
When you post something on Facebook that you want to get a lot of traction - be simultaneously ready to broadcast any existing mailing list you already have.
If I'm doing a Facebook Live, that I want everybody to know about, (or if I'm posting a video I want to go viral on Facebook), I will write the email to promote this item before I go live.
Then, the moment I go live or the moment the video has been published, I take that URL, and put it into the email broadcast, and hit 'Send'.
This way, you're getting the maximum number of people seeing that content as soon as possible.
The quicker people start reacting to your content on Facebook, the higher your EdgeRank score.
And the more reach Facebook will give you.
Getting good organic reach on Facebook can happen organically, but giving it a kickstart by mailing any existing list you have will explode your results.