Using the PC to setup your CF using WinUAE is cool, it's the easiest way to do it in fact.
1) Use Winuae to create a new setup (eg choose an empty folder on your PC) and call the boot partition 'System', make sure your config in WinUAE matches your real Amiga and make sure you use the correct ROM.
2) Only after you are happy that your WinUAE System is correctly working under WinUAE do you actually start playing with the CF
3) Mount your CF to WinUAE (make use it is writable)
4) Setup your CF (eg partition it and load SFS/PFS3) using your new WinUAE setup's HD Toolbox)
5) Name the boot partition on the CF 'System2' and then copy your working the contents of your system directory over to it in WinUAE (eg use Dopus)
6) Rename your CF's System2 partition to System and then setup a new WinUAE Config that uses your CF as the only HD (obviously set it to boot your CF card's new System partition)
7) Make sure your CF works as expected in WinUAE

Wack it the Miggy and go and play some games (eg
ScummVM AGA or
BOOM).