Phew, managed to get it working myself! This is what I did (Hi-Toro 0.5.2 and E-UAE 0.8.29-WIP4):
First, before starting the game, you have to manually create a save state bundle to use with your config under the Paths tab in Hi-Toro. Click Make State Bundle, name it whatever you want and save it. The in the same tab, browse for and select your save state file in the Save State field.
Load your floppy and start the game.
Then to actually save the state, press F11 +
left shift + numpad 0-9! I know, the Controls list for E-UAE says left shift is for
loading a saved state, but either this is a bug or just a type-o, because skipping the shift key actually loads a state (if there is one to load). This I found out by accident when viewing the E-UAE log.
I hope this might be of use to others with this problem.