You can do that by setting up the Crossfade settings in the winamp output plugin.
I have search just about everything I can think of to find this.
Is there some setting to remove the pause between songs?
sorry very Stupid here.
Options - Preferences - Plugins - Output - Nullsoft Directsound Output - Fading
you need an output plugin like this:
Then just play with the settings to make them how you'd like.
PS: you can remove gaps between songs with the options on the default output plugin as well (Options - Preferences - Plugins - Output - Nullsoft Directsound Output - Other - Silence Remover), the plugin in the link above just gives you more control over it.