I use WinUAE+OS3.9+WHDLoad, it's the ultimate :-)
You can have the games arranged in folders like any other Workbench apps, with nice icons, you still have your WB, exit back to Workbench instantly to choose another game or app, etc.
It is a shame though that there are still hundreds of games not supported by WHDLoad yet, you use WinUAE+KS1.3+ADFs for those...
