You mean you want to record a fade at the beginning and end of a song or you just want it to play songs that way? It would be my recomendation to just get a plugin for winamp to do your crossfading for you. That way if you decided you don't want fade, or don't like the way it was recorded you can change it on the fly. Once you record a fade, its pretty hard to get rid of it.
I have been using this little stand-alone. It works well for me, and it is free. There is a limit of the size the free will work with. I have Fog Hat--Slow Ride (full studio) 7.53mb that is 116% too big for the free version. You can register to get additional file size support for a price.