To change the HD safety option you need to change the Target information in the WinUAE short cut to;
"C:\Program Files\WinUAE\winuae.exe" -disableharddrivesafetycheck

Or whatever your path to WinUAE is.
Edit:
I did the same thing your attempting, not too long ago. I had trouble getting Workbench in WinUAE to see the hard disk. Make sure the CF Card doesn't already have a windows type partition. If it does, WinUAE seems to not wont to recognise it. After I added the 'disableharddrivesafetycheck' in the WinUAE shortcut, I got a KillDisk programme and nuked the partition on my CF Microdrive, then opened WinUAE and clicked the "Add Hard Drive" button", and found my CF Card in the drop down menu.
