For sound support, i suggest ALSA, since that is what i use. Make sure you get at least the 0103 build for semi- decent sound support. This howto assumes you already have UltraHLE, and if not, go get it. You might get a few warnings or fixmes from wine, but this is common with every windows program wine emulates. The UltraHLE main screen should load up.
All menu items are accessable, the frontend works great with wine.
But now the real test - the emulation. Sound Sound is currently the biggest problem. On my system, which i would say is pretty high-end, the sound never skips in windows, but skips often in wine. Watching memory usage as UltraHLE loads the roms, i could see it eats up all of my 64 megs, and still puts some into swap. CPU usage also skyrockets.