ClassicWB here too.
I use the versions created from OS3.1 on my Minimig, FPGA Arcade and Chameleon64 and the OS3.9 version on my expanded A2000 (68040 & RTG) and A4000 (with Mediator). Setting it up is a bit of a pain at first, but just follow the instructions carefully and you can't go wrong.
If you want to use WHDload then it is already configured and installed. Just put the correctly named ROM files in the correct folder and dump your favourite WHDLoad games into the GAMES folder (KG's game packs rock!).
The reason for the configuation issues using real Workbench disks and having to add the ROM images for WHDLoad is because they have tried to keep the package legal, thus they couldn't include all of the files you need. As I said, just follow the instuctions.
