Welcome pubzombie, I am the dude from gp32x that sent you here.
Check out our wiki style FAQ above in the links and fire away any questions you may have.
Once you get a HDD or compact flash adapter and CF card you install workbench once and off you go.
Now this is where you can cheat: If you have a PC running windows and winuae you can install the operating system on the HDD with winuae using adf files, you do this by connecting the hdd to your PC then mounting it in winuae so you can access it in the emulated environment. You can also use this method to install whdload and many whdload games.
www.winuae.net
www.whdload.de
www.whddownload.com
You will also need the installer package from aminet found here:
http://aminet.net/package/util/misc/Installer-43_3
Install that before installing whdload, should make life easier.