Under the Settings | Hardware | Hard Drives configuration screen, there's an "Add Directory..." button that allows you to mount a directory as a disk device under the emulation.
After clicking the button, you're presented with four textboxes and a checkbox: Device Name, Volume Label, Path, BootPri, and Read/Write.
Leave "Device Name" blank. WinUAE will automatically allocate the next available device name.
Enter a label in "Volume Label" (e.g. Workbench).
Enter a path in "Path" (e.g. C:\Amiga\Workbench).
Check the "Read/Write" checkbox as appropriate.
WinUAE should have set the BootPri textbox to 0. Leave this alone unless you want to manually manage the boot priority of your devices.
For a standard Amiga OS 3.x setup, you'll need to add two hard drives:
Device Name: [blank]
Volume Label: Workbench
Path: C:\Amiga\Workbench
Read/Write: Checked
BootPri: 0
Device Name: [blank]
Volume Label: Work
Path: C:\Amiga\Work
Read/Write: Checked
BootPri: 0
A hardfile is only necessary if you're a masochist (or if you're playing with software that doesn't like the directory emulation). Most of the features requiring hardfiles (e.g. extended file attributes) are now supported by mounted directories. I'm not sure about symbolic links, so you might still need a hardfile if you plan on working with the Geek Gadgets toolchain.
Using a real hard disk is fun and sometimes convenient (I use 1 GB Jaz disks for different environments), but it's still not 100% safe.
Trev