The best part of doing it the way I do it is that then you have a fully accessible Amiga volume readable on your PC. You can just add folders and copy stuff straight to it using Windows and it will run in the Amiga (save for those rare cases where file naming and otehr issues forbid you form doing so).
Also since the PCMCIA device is easily removable and replaceable, it beats having to open your miggy to put the hard drive/cf card into your PC to fire up WinUAE and do stuff to it.
As the cherry on the icing, CF or SD media is really cheap. you can get a 2GB SD card for next to nothing and this is all the storage I need