The coalescence of a neutron star with a black hole is a primary science target of ground-based gravitational wave detectors. Constraining or measuring the neutron star spin directly from gravitational wave observations requires knowledge of the dependence of the emission properties of these systems on the neutron star spin. This paper lays foundations for this task, by developing a numerical method to construct initial data for black hole--neutron star binaries with arbitrary spin on the neutron star. We demonstrate the robustness of the code by constructing initial-data sets in large regions of the parameter space. In addition to varying the neutron star spin-magnitude and spin-direction, we also explore neutron star compactness, mass-ratio, black hole spin, and black hole spin-direction. Specifically, we are able to construct initial data sets with neutron stars spinning near centrifugal break-up, and with black hole spins as large as $S_{rm BH}/M_{rm BH}^2=0.99$.
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