What, do you mean by right clicking the exe and choosing open with? The problem is that wine doesn't make a .app file to choose, it's all terminal stuff.
Maybe something could be thrown together using Platypus. You could then set every EXE file to open in that launcher app. I don't have the time though. Almost time for school.
I just tried paltypus and it's a no-go. I set it to run /usr/local/bin/wine as a shell script and the text output said "Cannot execute script". Then again I've never used it before so I no doubt did something wrong...