I don't know, I never had anything but floppies back in the day of course; but all this WHLoad stuff? I don't even know what it is... I just load from disc once in WinUAE, and if it's too tedious to do more than once (uncracked copy protection say), I just make a Save State at the title screen. If I want to save Highscores, I just go back to the Title Screen at the end of a game, and update the state again.
But mid game disc swaps? I still kind of like them, as you often would see new loading screens or content, but mostly I remember them fondly because they maintain a more dramatic flow of time... You actually knew something different was coming up, because you physically had to change the media to prepare for it. At the very least, it was a good excuse to give your eyes the recommended rest. And modern gaming, for all it's flash and power, has lost that tactile involvement for the player... these days, you're lucky if you even get a physical manual in the box (and if you do, it's usually mostly full of legal jargon explaining how ultimately you don't really own the software) much less the little goodies and posters that used to come with a game. And once it's on your hard drive, you have no connection to the world of the game except as it appears on your screen; no loading noise, no little blinking lights that tell you it's interacting with your computer unless you get a special case... And you know, for all the criticism of the Wii, I have to admit it's done something wonderful in giving people a sense of actual physical involvement in gaming again; with it's ridiculous controllers is at least something more than a dull box that sits behind the monitor or under the table whilst you sit and ossify in front of it. Sometimes, less can indeed be more methinks.