Firstly, You CAN have Oh No! More lemmings songs in Winlemm. All you do is get the Midi file and rename it to one of the lemmings Midis (LEMMIN1P, LEMMIN2P, etc...) and put it in the music file. When you play Winlemm, the Oh No! music will play instead of the Lemmings song.
Example:
Rename OHNO1.MID to CANCANP.MID
OHNO1. MID will play in place of CANCAN.MID when playing winlemm.
However, There aren't any official Oh No! midis, you'll have to make them yourself or download unofficial ones.
Secondly, Fast forward is only very fast on relatively fast computers, if you use a slow PC, Fast forward isn't as fast