That's just it, I'm not able to keep any settings saved at all. I can write ROMs and apps to the device via a USB cable, but anything I do on the device itself (emulator settings, save states, rom path settings, etc) doesn't stick. It's almost like the device is read-only somehow.
Thanks for your reply; I suspect you're right about the rom path not being set beforehand, and that's why I am having this problem. The more fundamental problem seems to be that I can't actually write ANYTHING to the card via the device itself. It's very weird.