Within WinUAE, at the config goto "Hardware"->"Disk Drives"->"Create Standard Floppy" (at the bottom). This let you create an empty, formated adf file. After this load the created adf into df0: or df1: to save you game. Beware, some games require special savedisks. You can get those from:
http://www.back2roots.org/Games/Savedisks/