I'm fairly sure you have to add it before WinUAE is booted. I think your problem is likely to be about the drives boot priority. Your SCSI drive should already have the appropriate boot priority, what you want to do is change the boot priority of the Directory your adding on the PC.
I think the drive with the highest priority gets started first.
Assign your PC drive your adding a priority of -5 or -10 or something and try that out.
WinUAE will set the bootpri to 0 by default I believe.
