It's perfectly possbile to install OS 3.9 completely in WinUAE and then put the harddrive into the Amiga.
The only thing to take care of is to mount the CD as a CD in WinUAE and not as a Windows directory. The latter leads to write protected messages. The former is a bit more complicated. You need to make an emergency disk and then edit the CD driver on the emergency disk to mount the CD correctly.
But even if the files are write protected it only needs one command to unprotect them:
protect sys:#? +wd all
