I don't think you can write a HDF file directly to a CF card unless the geometry is the same? (Which it probably won't be).
Take great care partitioning and formatting your CF card.
Make sure you have the correct filesystem for you (PFSAIO?), set the partition as bootable, set the Max Transfer size for IDE (0x1FE0).
Then you should be able to just copy the directories/files over in WinUAE.
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