Um - it took me all of two minutes! As soon as I found out that Cloanto had CD32 ROMs I had to go and buy them

In no particular order, then (since I'm at work, and can't check!) ...
Set up a new configuration, 2Mb chip ram and nothing else.
AGA chipset, KS3.1 CD32 ROM, CD32 expansion ROM (at least that's what I think it was called).
020EC processor, fastest speed maintaining timing, no hard drives, all floppies disabled.
Configure your input so that it is for a CD32 pad (i.e set up the buttons properly!) in port 2
Ensure that UAESCSI is enabled.
Set the display mode to 640x512 (note - you'll have to manually add this to the Windows registry! Not difficult; can't remember off-hand what I did though...) with full screen and full screen RTG. Ensure that scan lines are doubled.
Save.
Play games.
Cannon Fodder worked straight away (I've never been able to play the CD32 version) as did Roadkill, Myth, and a few others.
Bubba'n'Stix played the intro, then left me with a black screen and the music.
Overkill/Lunar-C loaded the title screen, but I couldn't select anything, nor move the cursor.
I'll try and post more info when I've got a bit more time...
HTH