As MSC noted, that hardware barely meets minimums specs for WinXP, which could be one factor at least. I have a PIII/700 running WinUAE with very good results, but I'm running Win98SE, which uses less system resources. I used to get the same results on a PIII/500. For either of those hardware setups, I won't even consider moving to XP because it leaves less free resources for any other software I might run.
As for the relative performance of WinUAE vs. WinFellow, you have to consider the fact that WinUAE is currently a considerably more complete emulation than is WinFellow, and as a result it is consuming more of the available CPU cycles in order to do its work. You're not making its work any easier though based on the details of the configs that you're using, and by changing some of those, you might get better performance. For example, you say that you're running in 800x600 w/32 bit color? Why? If you're emulating a machine like the early Amiga versions, an NTSC display for many games may have actually required a display area of no greater than 320x200, and even 8 bit color would be more than enough to represent the number of colors actually used by the game (Shadow of the Beast is a good example of this). I seem to have a vague recollection that trying to use 8 bit color in WinUAE doesn't buy you anything performance wise, but that using a 16 bit color mode might. By asking WinUAE to use an 800x600x32, you're asking it to manipulate a much larger amount of memory for each frame than it has to deal with at 320x200x16, and that has to impact overall performance on a slower machine. Personally, I use PowerStrip to create custom fullscreen resolutions for my video card such as 320x200x16, 640x400x16 and a few others representing PAL screenmodes. By using those screenmodes in WinUAE, I get a display that much more closely resembles the actual native Amiga screen modes, while reducing the amount of work that WinUAE has to do.
As for sound problems, the first thing to be sure of is that the drivers for your sound card are up to date. Beyond that, it takes some fiddling around to find what works best for your own setup. For me, I found that I had to set the sound buffer size to its absolute minimum or I get lag. You might also consider the sound frequency settings as something that you might want to change. I'm not sure that a sound frequency of 44K makes the emulation any more authentic than 22K, but it might be putting a greater load on WinUAE.
The bottom line is that you CAN coax better performance out of WinUAE if you really take a look at your various configuration settings, though whether you can coax enough performance out of them to run everything perfectly or not remains to be seen. Even apart from changing configuration settings within WinUAE, there may be other things in the overall configuration of the machine itself that you could do to free up some processing power for WinUAE and any other apps that you might run. Over time, installing various bits of software can result in a lot of little apps being set up to launch automatically in the background whenever you boot Windows, and each of those uses up some of your available resources. You might want to review the things that are loaded at startup and see if there are any you don't really need. And if you haven't done so before, download and run a few of the anti-spyware tools that are freely available out there. I can't even begin to tell you how many times I've seen my systems performance shot to hell because of spyware that snuck onto my machine.
Hope this info is of some help!