Hey B00TDisk,
I was having the same problem, in that it was just not as simple as the older versions of UAE. Anyway, Just click "Add Hardfile" under the hard drives section in WinUAE. at the bottom of the screen, specify a size for your drive then click "Create", give it a name and save or whatever. Then, you'll need to boot from your Workbench 3.1 disk. You might notice when you boot into workbench that your newly created Hard disk is present, but labeled as "Ndos" or somthing. Use the "Format" tool located on the Workbench 3.1 disk, under the "System" folder. this will allow you to format your new disk and you should be good to go.
Hope this helps!!
Jeremy