Probably a class 4 should be fine. For roms and games you don't need a very fast card.
Sorry, but this drives me absolutely batty:
Class X = GUARANTEED MINIMUM WRITE THROUGHPUT OF X MB/s PERIOD. NOTHING else! i.e. no read throughput, no latency, etc.
e.g. you might get a Class 10 card that yes indeed actually hits it's 10MB/s target but does 512kbps reads, and 100s of ms of latency (THIS IS HIGHLY exaggerated, but ENTIRELY possible given the "Class X" system.)
In reality most of the cards seem to be pretty decent unlike the PRE-SDHC version where the very best were Toshiba(aka made in japan as Toshiba was the ONLY mfg in japan -- relatively stable throughput/latency), followed by Taiwan(usually great when empty but as they became "filled" throughput would decrease and latency would increase), and then VERY FAR last made in china(usually just relatively low throughput and high latency). Most of the tested "classed" SDHC cards that I've seen tend to exceed their actual classification rating(write) as well as have good read throughput and low latency, but there are still pokey cards so best to try to find the model and see if you can turn up any benchmarks for the brand/model/mdg location.