I've followed the instructions to create the USB stick. On first boot, it asks to insert volume DF0. Not sure what I am to do next?

You need to provide your own kickstart/floppy/disk images before the system will work.

Can you give me a dummies guide to what I need to do as it looks like a kickstart ROM and HDF already exists?

On a windows/Linux machine (So it's not booted into the emulator).

Copy your kickstart rom to the rom folder
Copy your hdf to the hardfiles folder

Edit the /configs/amiga-1200.fs-uae file to have the name of your rom/hdf file, leaving the path to the files as they are..

ie:
kickstart_file = /amiga/roms/A1200.47.111.rom

Boot off the USB memory stick into your emulated setup.

Thanks, got it working now.