Unfortunately you can't run games through the VGA-out, other than some system friendly games (like DOOM) but to do that you'll need to be running in one of the Multisync modes, DBLPal or DBLNTSC, and that's a lot slower than PAL or NTSC. It works well enough for Workbench though. RGB will be the best if your monitor supports it. My SX32's RGB port doesn't work so I just use S-Video with a LCD TV for a rock solid display. The image is always a little off-center in games from any Amiga, but Workbench can be centered and increased in size to fit to the borders of the screen.
Any 44pin IDE CF adapter should work, but surely some don't. It's hit and miss, you are probably better off buying one from the same place someone else who uses it with their Amiga bought it from, or just take a chance since they're only a few dollars from China on eBay.
Unpacking all those ADFs to floppy disks and booting them up in an external floppy drive is going to be tedious. You're much better off re-downloading all your favourites pre-installed for WHDLoad from www.whdownload.com
. Provided you have WHDLoad installed (use the CD32 version of WHDLoad) you can just load up any game from Workbench or from a custom menu, play them, and quit back to the menu or Workbench to choose another game when you're finished. It's quite easy compared to the old method of swapping disks, or even using UAE with ADFs.