Hello Steve, and welcome to EAB!
When choosing a CF card please keep in mind that not all of them may work.
So check this thread.
As for the adapters, most of them work with no problems, try to choose one that reads only the CF format. If you plan to use other cards such as SD and so on, i would advice you to purchase the adapter (multi card reader) sold by AmigaKit.
Here goes other usefull links that will help you install stuff.
(Useful for a real Amiga and WinUAE)
http://guide.abime.net/home.htm
http://classicwb.abime.net/
WHDLoad Games and Demos
http://www.whdownload.com/games.php?name=%&sort=0&dir=0
http://kgwhd.whdownload.com/
Also check here to get aquanted with many amiga utilities,terms and basic shell commands.
http://www.ghira.mistral.co.uk/amiga/utils.html
PS:
Some games like "Moonstone" may not run, to solve this you may have to install an utility called Skick346 and register WHDLOAD.
Good luck!