misunderstood me and decided that I propose to use code page 20866 instead of 1251 for russian locale under Wine. But that's not the case. I only proposed to create filenames on disk in encoding used natively in Linux.
I think that the right way is to have code conversion option in wine.config, as one of Wine mount options. That way we will be able to handle most weird configuration (like UTF-8 on native Linux, cp 1251 on removable media).