If these are LZX archives it sounds like they're WHDload games and not connected with ADF files in the slightest. I'm not sure if you can convert the game image files contained in WHDload folders back to ADF??
Compressed ADF files usually have the extension ADZ, ZIP and DMS, all of which can be used by WinUAE directly. They are not usually distributed in LZX fomat.
WHDload games however are usually in LZX and decompress to a folder like you described. That's because the folder contains all the files necessary in order to run the game directly from the hard drive! That's why I mentioned WHDload before when you asked about running multi-disk games.
The classic workbench already has WHDload installed, so you should be able to run these games from the folder as long as it contains the game images and not just the slave files. Just look for an icon with the games name, double click and it should run. For a great collection of WHDload games look at KillerGorilla's WHDload thread: