You can't really do it with ADFs, but you can definitely create a bootable CD with a menu to select hundreds of WHDLoad-installed games from. There are a few different menu systems around to choose from like Arcade Game Selector and Advanced Menu System, as well as a few more being worked on such as X-Bench and KGLoad. Franko also made a really cool games selection menu system but I haven't been able to set it up and try it on a CD32 yet.
If you do a search for CD32-100, CD32-200, -350, -444, -888 you'll find some excellent compilations that have already been put together over the years, hopefully containing all the games you want to play. The chances are that if the game you want isn't on one of these CDs, it most likely requires more than the standard 2MB RAM a CD32 has, or might require a keyboard to run.
