It's easy. Everything is set and you just need a program that supports PIP. For example "Genetic Species" game (its latest update supports RTG PIP mode). Just switch to Window mode in game settings.
Just make sure your WinUAE is at least version 4.2.0 or newer. If you used new AmiKit XE installer, it surely is. But if you used an upgrade archive to upgrade your AmiKit X to XE, you have to update to the latest WinUAE manually (the upgrade archive updates Amiga files only). But don't worry, it's super easy. Just follow the instructions in our Quick Guide
Hope it helps.