A halo, as you know, is the attribute of a saint: when saints are represented in art, they are shown with a halo around their head.

This seems to be a man talking to his wife (I'll assume it's this way round, though it could be a wife speaking to her husband). The speaker has said something to her that has made her jealous, and he is saying that this is only natural: she has good reason to be jealous, and any normal person would be; only a saint, an absolutely good and virtuous person, would not be.

So she would have to be a saint not to feel as she does. And he is not asking or expecting this of her. It would be unnatural, and he wants her to be herself and act naturally. If she were a saint, she would have to have a halo, and he imagines this halo as an actual object which she would be setting up or installing in the home. It would be a nuisance; it would have to be cleaned, and there is enough furniture to be cleaned already.

So he's making a joke in order to try to calm her, to amuse her, and to indicate to her that he does not expect her to react less angrily and would not wish her to adopt an unnaturally saintly attitude. It would be an encumbrance, a nuisance, in their relationship, something awkward and unnatural, as if it were a piece of furniture that needed to be cleaned. This is a metaphorical way of saying that for her to try to be saintly, rather than reacting naturally and sincerely, would not be what he wants. The halo is an emblem of sainthood, which is supposed to be admirable but would actually be unwelcome, because it would impair their relationship, like an awkward piece of furniture in their home.

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Note added at 4 hrs (2014-10-11 07:30:25 GMT)
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There's another possible implication of "set up a halo". It could imply being saintly in an ostentatious way, referring to the kind of person that wants their "saintliness" to be noticed and appreciated. "Set up" can express this idea; there is another expression, "set oneself up as", which implies pretentiousness, claiming to pretending to be what you are not. "Set up a halo" could mean make a great show of being virtuous. But without knowing more about these characters and their relationship I can't tell whether it's relevant here.

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Note added at 6 hrs (2014-10-11 09:49:14 GMT)
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OK, thanks. So Jack was right. It does sound more likely something a woman would say.

"Set up a halo", in that situation, means make a pretence of being a saint (to himself as well as others). She is telling him to be honest with himself, and with her, about his professional jealousy. You get the impression that he feels unable to admit that he is jealous, because it's an unworthy feeling. Not admitting this means, in a sense, that he is pretending not to have faults that he does have.

Reading it again, I feel I underestimated the possible signs of irritation in what she says. She tells him not to shout at her. He asked her to be honest, and now he seems to be angry with her for telling him what he didn't want to hear. Then "there's enough cleaning in this house already" may mean that she has to all the cleaning, and may even resent that fact. "Setting up a halo", pretending to be a saint, would mean that she would also have to clean his halo: flatter his virtuous self-image.