Hi Mike,
On the inital screen there are a list of tabs on the left -
Once you've set all the settings you want go back onto the 'configurations' tab - enter a configuration name and hit 'save'.
When starting up WinUAE you can then load the configuration settings on this same screen.
There is a program called saverom with Piru's blizkick - use that to capture your rom image, then transfer that to your PC.
For 1) go onto the 'ROM' tab - click on the ... button next to 'Main Rom File' and point the browse window to the location of your new ROM image.
For 2) go onto the 'hard drives' tab and click on 'Add Hardfile' - the bottom half of this window is used to create the hardfile of xxxMB - there is a drop down menu allowing you to choose the filesystem. This just exists as a file on your hard-drive and does not require unpartitioned space.
For 3) you will need to create ADF (or DMS) images of the 3.1 install disks and transfer these to your PC harddrive - then go to the 'floppy drives' tab and point DF1,2,3 to the locations of these ADFs (or DMSs).
When installing WB you can change the disk by clicking on the 'power' button at the bottom of the UAE window and going back to the 'floppy drives' tab.
I'd recommend you go onto the 'misc' tab also and enable UAEscsi.device, as this will allow you to mount your CD rom using just a standard mountfile in dosdrivers, using device = UAEscsi.device, Unit = 0.
Hope that helps for now. :-)