I imagine there wouldn't be a difference between the hard drive version and the disk version level storage method? Or am I mistaken?
Probably should of noted that I have the hard drive version. At least, I'm pretty sure, considering I don't load floppy disk images on WinUAE
EDIT: Poorly worded. I do load disk images for most games, but Lemmings isn't one of them. Of course, considering I currently only have three games...