It does in fact work, I've got Sweetfx running with a custom HD texture pack on Windwaker. It will only work with x86 versions of Dolphin and under D3D backend. All you have to do is exract Sweetfx files to where your Dolphin.exe is.
[color=#666666]MSI [/color][color=#ff9933]CX[/color][color=#666666]60[/color]
[color=#999999]i5-4200M @ 3.5Ghz [/color][color=#ff9933]turboboost[/color]
[color=#666666]N[/color][color=#999999]vidia GT720[/color][color=#ff9933]M[/color]
[color=#999999][color=#666666]1[/color] [/color][color=#ff9966]TB[/color] [color=#999999]HDD[/color]
[color=#666666]Windows[/color] [color=#ff9933]8.1[/color]
[color=#999999][color=#666666]Wii [/color]Pro Controller [/color][color=#ff9933]+[/color] [color=#999999]Mayflash adapter, Wii Mote [/color][color=#ff9933]x2[/color]
[color=#999999]i5-4200M @ 3.5Ghz [/color][color=#ff9933]turboboost[/color]
[color=#666666]N[/color][color=#999999]vidia GT720[/color][color=#ff9933]M[/color]
[color=#999999][color=#666666]1[/color] [/color][color=#ff9966]TB[/color] [color=#999999]HDD[/color]
[color=#666666]Windows[/color] [color=#ff9933]8.1[/color]
[color=#999999][color=#666666]Wii [/color]Pro Controller [/color][color=#ff9933]+[/color] [color=#999999]Mayflash adapter, Wii Mote [/color][color=#ff9933]x2[/color]