CD32 emulators will work with backups and CD32 disc images downloaded from the wonderweb and burned correctly to CD.
Sound effects still work in WHDLoad-installed CD32 games, as does non-CD audio music (IOW, music which is played from a sound file not from an audio track like a normal music disc). CD32 games which have a data track for the game and then music tracks for the audio will not play the audio when WHDLoad-installed as WHDLoad can't copy the audio tracks. But sound effects are not played from CD-audio tracks, so they will still work.
In order to use WHDLoad, visit this site:
http://www.whdload.de/Download and install WHDLoad_Usr.lha (linked from that page directly). Then go to the Installs page (linked from the top) and download the installer for the game you want. Make sure that the installer you download is for the CD32 version. The unpack the installer and run it. It will ask at some point for the CD, and will install the game files to your hard drive so you can run it from there without the CD. You no longer need the installer you used to install it, just the installed game itself.
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moto