Yeah, you can do that easily. A CD32 booted into Workbench will read a CD burned with a PC with heaps of ADF files on it. If you have a CD32 with a SX32 though, you'd be better off filling a 4GB CF card with WHDLoad-installed games and running them from an easy selection boot menu like KGLoad or AdvancedMenuSystem.
Floppies are fine for nostalgia or if you only have a 1MB A500, but with a CD32 with 8MB FastRAM (assuming your SX32 is fully populated) you can run so many more games! How about these games that didn't officially come out on the CD32, but run fine on the SX32 like DOOM/DOOM2, Day of the Tentacle, XTreme Racing, Breathless, Links (Golf in 4096 colours), OnEscapee, Super Street Fighter II (actually there's a patched version that runs on a stock CD32 from CD now!), Sim City 2000, and if you set up a null-modem cable (or dialup modem) to go online, you can play the wonderful online Bomberman clone Dynamite against us!