I wasn't following instructions correctly in readme but just on half chance someone having same problem as below (especially if you just want winuae loader to work for a Mala front end or something and not interested in winuae as such);
1) put these in a kickstart folder for UAE and set the path in winuae itself :
Kickstart v1.3 rev 34.5 (1987)(Commodore)(A500-A1000-A2000-CDTV).rom
Kickstart v3.1 rev 40.68 (1993)(Commodore)(A1200).rom
Kickstart v3.1 rev 40.68 (1993)(Commodore)(A4000).rom
2) put these roms in WinUAELoader\WHD\Devs\Kickstarts :
kick34005.A500
kick34005.A500.PAT
kick34005.A500.RTB
kick40068.A1200
kick40068.A1200.PAT
kick40068.A1200.RTB
kick40068.A4000
kick40068.A4000.PAT
kick40068.A4000.RTB
3) enable "Overwrite Configs" in WinUAE Loader
4) re super skidmarks, I copied track and car data from "SuperSkidmarks+_v2.21.zip" (on KG's site) into "SuperSkidmarks_v1.0_CD32.zip". Works great. 'object not found' related to there not being a slave file in the game zip archive.
Thanks again authors for all these awesome tools..