I had this very same problem a while back wanted to back up my files/have a virtual version of my machine/set up, the easiest way for me was to pull out my Amiga IDE hard drive and connect it up to Windows machine, it will try to suggest formatting it skip that and then in WinUAE it should automatically find the hard drive and then you can boot from it and make a backup.
I'd highly recommend Amiga Forever, it offer quite a bit more than WinUAE on its own and is not too much to pay (£19.99) to own every Amiga ever made legally, and your supporting WinUAE as Clonte donate and are the main supporter of the program and have also supported Aros efforts with its custom kickstart and various other areas to, so I dont think it much to ask for.
