Variables in psql suck. If you want to declare an integer, you have to enter the integer, then do a carriage return, then end the statement in a semicolon. Observe:
Let's say I want to declare an integer variable my_var and insert it into a table test:
Example table test:
thedatabase=# \d test;
                         Table "public.test"
 Column |  Type   |                     Modifiers                     
--------+---------+---------------------------------------------------
 id     | integer | not null default nextval('test_id_seq'::regclass)
Indexes:
    "test_pkey" PRIMARY KEY, btree (id)
Clearly, nothing in this table yet:
thedatabase=# select * from test;
 id 
----
(0 rows)
We declare a variable. Notice how the semicolon is on the next line!
thedatabase=# \set my_var 999
thedatabase=# ;
Now we can insert. We have to use this weird ":''" looking syntax:
thedatabase=# insert into test(id) values (:'my_var');
INSERT 0 1
It worked!
thedatabase=# select * from test;
 id  
-----
 999
(1 row)
Explanation:
So... what happens if we don't have the semicolon on the next line? The variable? Have a look:
We declare my_var without the new line.
thedatabase=# \set my_var 999;
Let's select my_var.
thedatabase=# select :'my_var';
 ?column? 
----------
 999;
(1 row)
WTF is that? It's not an integer, it's a string 999;!
thedatabase=# select 999;
 ?column? 
----------
      999
(1 row)