A lot of old amiga games would run without workbench at all. On a real miggy, one would put disk one into DF0:, turn on the machine, and the game would load. Some games allowed the use of multiple floppy drives, but others didn't. For those games that didn't support multiple drives, you will have to 'swap the disks' while the game is running. On a real amiga, the game would give a message like 'insert game disk 2 in DF0:'. To do this in UAE, one needs to tell the emulator to use a different .adf file. In WinUAE, one can press F12, and a gui, like Hi-Toro will appear, and one can tell UAE to use a different .adf file. You may get away with putting disks in each drive; just have a try. You will need to specify a ROM location, but will not need a Workbench disk when running a game this way. I think the original Lemmings, at least, would run from floppy like this. Some games will require a Workbench already installed, and then the game will be installed and run from the Amiga hard drive. A great many games will run without Workbench, though. Also worth noting, is to make sure you have chosen an appropriate hardware configuration for the particular game you want to play. Do you know a little bit about the chip sets, and processors? If you can choose options to emulate an Amiga 500, I think it should be good to start playing a large number of games. There may be some pre-defined configurations available through Hi-Torro, given as something like 'Quick Start' configurations. There is also some configuration information available online, from Amiga games webpages.
I'm not sure about the use of a .ahi file. Try without using one, and see what happens. I've never used one before. I presume it's something to allow 16 bit audio. Shouldn't be necessary for games.