Run HDToolbox, go to Install Drive, Define New, Read Configuration, Ok, Ok, Partition Drive, change partitions as desired, make sure that at least one has the "bootable" box checked, ok, Save Changes to Drive, Exit, reboot. Now the new partition(s) should appear on the desktop as unformatted. Select one at a time and choose "Format drive" from the icon menu, enter a name and click on "Quick". Now the partition is ready to store files. To avoid problems with negative numbers you should make partitions not bigger than 2GB.
If HDToolbox does not show the HDD, select its icon, choose "Information" from the icon menu and check the tooltypes. There should be one reading DEVICE=scsi.device without brackets around it. Make sure that the name (scsi.device) matches the name of the driver of your HDD controller. For most Amiga models it's scsi.device. For WinUAE's built-in controller it's uaehf.device. I don't know which name the SX32 uses. Change the tooltype accordingly, save the icon and run HDToolbox again.