Yes, I use WHDLoad via WinUAE, installing and using it is just the same as you would on a real Amiga.
But I must point out that about 30-40% of the patched games I try are not compatible with WinUAE :-( I've got a couple of hundred on my hard disk which are compatible, and maybe a hundred good ones on CD-ROM which aren't.
I'm curious as to why you would prefer the native AmigaDOS games, any reason in particular?
There are a few HD-installed games there, and also links to every known HD-installed Amiga games site (about 15 or so, I think). Also I found a site the other day called Gandimann which is really good, I haven't added it to the links yet, but you can get there via Tom-Tom's links page. (Can't remember the URL at the moment.)