I tend to just use directories, much easier when I just want to try out something before copying it to my real Amiga. I can download something and copy it across while UAE is running, and access it straight away on the vitual Amiga.
For me, the real advantage to a real Amiga hard disk is that I can transfer it between machines quickly and easily, eg. I didn't have a working CD drive on my A4000 when I got it, so I installed OS3.5 to a Compact Flash card under emulation, then transferred it directly to my A4000 and it worked right away.
Matthew
