I'm not sure how Dolphin works, but if it allows you to do that, and installed wad files work the same as they do in the Wii, then i don't see the problem in trying.
But it's worth mentioning, you want to have Bootmii installed as either IOS or Boot2 for brick protection on your Wii, if you don't have it set up already, and make a nand backup with BootMii and store somewhere safe just in case.