The A600 is a very capable machine! Get the 1MB Chip expansion card and maybe a 2 or 4MB PCMCIA SRAM card and you are all set!
I succesfully installed a 4.86GB HD in my A600, It had Kickstart 37.350 on it and it worked fine as long as I stayed under 4GB. I later put Kickstart 40.063 in as it is more compatible with older games and is faster!
As far as WHDLoad, most games run fine, and for the quit key just reassign a new one! No problem.
You need CrossDOS to transfer it to your A600 via 720k PC disks...