DOOM will work on your CD32 with the SX32, as well as Day of the Tentacle, so give those a try once you get it set up. Don't even think about bothering with the unnecessary OS3.5/3.9, they'll only slow down your system and use too much RAM. OS3.1 is perfect, and I'd recommend downloading and installing ClassicWB or AmigaSys on your HDD (or Compact Flash card if you want faster, more reliable storage, you just need a cheap CF-IDE 44 pin adapter). Since you're running it on a CD32, WHDLoad will run all games without you needing to register, but if you're feeling generous it wouldn't hurt to register it anyway. Browse through Lemon Amiga ( www.lemonamiga.com
), have a look at all the games they have listed there and the comments left by others, then download all the ones you want from the WHDownload link under the "Possible Download Sites" section. You can burn a CD from a PC with Workbench and a disc full of games and load them up on the CD32, I find it easier to burn a CD to transfer files to the CD32 than pulling it apart and sticking the hard drive in a PC.
You should get a PC keyboard adapter and use a cheap PC keyboard if you want to use programs or games that require the keyboard. http://amigakit.leamancomputing.com/...roducts_id=228
You'd be best to get yourself an Amiga mouse or a mouse adapter too, just for the sheer amount of good mouse games you'll have access to. There's a small patch called JoyMouse which will let you use the control pad to move the pointer in Workbench though.
Download NeonLight's Workbench CD and test that out first, it's designed to run on standard CD32s but it should at least let you access your HDD so you can format it and install Workbench and things on it. http://eab.abime.net/showpost.php?p=613893&postcount=59
You might also want to get yourself a serial null-modem cable, so you can hook up your SX32 to a PC and use it to transfer files or go online.