If you use
WinUAELoader, it works for WHDLoad games as well.
You can use its GUI to launch games through winuae, or make windows shortcuts to particular games.
See the 'Tools' tab for the game launcher
Shortcut syntax: "winuaeloader.exe -mode whdload/gamebase/sps -rom filename".
If you use
WHDLoad games there is no need for disk swapping.