1) You can configure 95 to boot up to DOS and use the command WIN to load Windows just like 3.1. So 95 is probably a better choice because there are more games for 95 than 3.1. And you can still run the old DOS games.
2) 128MB of RAM on a P-133? Hahah.
3) Mozgus, are you running the DOS games inside of 95? If so, that would be your problem, as that rarely works right. It's been many years, but I believe it's a setting in win.ini or boot.ini or something like that. Add BootGUI=0 and the computer will boot to DOS, not 95.
I've thought about building a retro machine. Almost the exact same one as you did. But then I'd need a place to put it. And with DosBox out and being awesome there really aren't that many old games I can't play.