The OPK files are the ported game code and are free to distribute, these are the files that the Pocketgo2 recognises as games/apps. The WAD (Doom) and WL6/SOD files (Wolfenstein 3D) are commercial game data which contain all the assets which are not free, you need to get them from your original disk, Steam, GoG version etc.
The OPK files go in the app folder either on the SD card or on the internal storage (media/sdcard/apps), doesn't matter which as OpenDingux will see them either way and the icon will appear in the Games section. You can move files around on the console using Dingux Commander.
Not sure about Wolfenstein but with Doom you can put the game data (WAD files) where you want (I have mine in a Doom folder on the SD card) and point the game to them by pressing select over the game icon, clicking EDIT PrBoom+ and configuring the selector directory to /media/sdcard/Doom for example, this means the game will know where to look for them. You can put all your Doom games (Doom II, Plutonia etc) in the same folder and select them when you launch the game.