That's correct but the binary file will be saved on your PC hard drive. You will have to copy it into a DSK image in order to use it within WinAPE (But you can do that with WinAPE too, just select a DSK for Drive A, press SHIFT+CTRL+F1 to open the Disc Editor window, check the box to Add/Remove AMSDOS headers then drag'n'drop your file in the window, and that's it, phew... :).
You can also assemble directly into the emulated CPC memory and save your binary from BASIC with something like this (assuming you're not compiling your program into the reserved Firmware areas):
SAVE"FILENAME",b,<start address of your program>,<lenght of your program in byte>[,<execution address>]
The <execution address> allow you to execute your program with a RUN"FILENAME, otherwise you will have to LOAD it from BASIC and CALL it manually.