Mainly thanks to Thomas and Acill, I have now successfully created an Amiga hard disk (ie. partitioned, formatted, and installed Workbench) on my PC using WinUAE, which then worked in a real Amiga.
For future reference (hopefully to help other people) here is how I did it:
1. I attached a 2.5" hard disk to my PC using a 2.5" to 3.5" converter bought off eBay.
2. I booted Windows and then loaded WinUAE from the command-line prompt using "winuae -disableharddrivesafetycheck".
3. I loaded my "A4000" AmigaOS3.9 configuration and then clicked "Add harddrive..." on the "Hard Drives" tab.
4. After a couple of warnings, I was able to choose from two harddrives... either "ToshibaMK1403MAV" or "Maxtor6Y120M0".
5. I chose the Toshiba drive, since the Maxtor drive is my Serial ATA PC hard disk!
6. I booted the AmigaOS3.9 config and loaded HDToolbox. (NB. For some unknown reason, the version of HDToolbox that came with Workbench 3.1 wouldn't recognise the Toshiba drive, otherwise I would just have booted from the "Install" disk of Workbench 3.1)
7. I installed and partitioned the drive with HDToolbox (choose "uaehf.device" and then select the name of the harddrive as it appeared in the WinUAE GUI). I'm assuming that people reading this at least know how to use HDToolbox for partitioning once they have selected a harddrive.
8. I formatted the partitions, and then booted WinUAE with the Workbench 3.1 "Install" disk to install Workbench 3.1 onto the hard disk in the usual way.
9. I tested the harddrive and its new install of Workbench 3.1 with WinUAE.
10. I put the harddrive in my SX32 Pro and booted it successfully, without any problems whatsoever!
I have to say, it was rather weird having an Amiga-formatted harddrive in my PC which Windows Explorer couldn't access, but WinUAE could access as normal.
Hope this guide helps somebody in future!
Steve.