I've done this a number of times. Building HD's and/or CF cards on WinUAE and then putting them in my A4000D or A4000T on the IDE controller.
I try to make the WinUAE setup as near a real A4000 as possible. Choose an A4000 KS, A4000 chipset and when adding the HD I always choose "Commodore A600/A1200/A4000 IDE" in the dropdown box instead of "IDE Auto".
Using a drive larger than 4 GB can be an issue....it may report incorrectly. I believe you can just partition out the first 4 GB or less and leave the rest unpartitioned until you get your system built and scsi.device patched to support larger HD's.
You also may need to diskpart the IDE drive first in Windows that you are trying to use and make sure it has no Windows partition or MBR on it. The drive needs to be untouched by Windows.
