Ok,

So from what I gather, I download a WHDLoad installed game (I assume possibly off the WHDLoad website itself?) and place it in my Data folder on my MorphOS host operating system. From there I'm a little unclear, do I launch the game from my UAE emulated WB 3.1 install or do I launch the game from my host MorphOS operating system?

Not fussed either way, just a little unsure of what you're explaining.