Disclaimer: this is a very long and noob friendly tutorial, mostly intended for lurkers !!!
I bought the bundle console version, with a 32GB card included + preinstalled games. The only folder I kept intact on that card was the FBA one. In that particular folder you will find CPS1, CPS2 and NEOGEO roms and I'm not sure it stops at those. Fortunately, I don't have to wrap my head around that anymore as there are plenty of high quality games in there.
For the MAME, I had to do a little digging. I own an LDK console also, so I had a compatible MAME romset downloaded already. It's the same as for the RG-350 version. If you read the manual (press select on the MAME4ALL icon and that option will appear), you'll see that the emulator requires the MAME0.37b5 romset. This is the most important part of this tutorial: proceed to get that exact romset. You will see hundred of .zip files in there. Do not change the name of those files. Also, stick with the roms only (no need for a Samples folder, if there is such a thing).
Be aware that the romset contains CPS1, CPS2 and NEOGEO roms, which may already be in your FBA folder. Even if they're not, those particular ones are much better emulated by the FBA emulator than anything else, so I recommend you move them to the FBA folder of your external SD card, or delete them, if your FBA folder is already populated. A good start to spot them is to look for a CPS1, CSP2 and NEOGEO filename list and separate those files, as I've mentioned. Note that the supported MAME games are mostly games created between '80-'90, so a file with a size bigger than 10MB, for example, should raise some question marks on your part. Also, the romset contains plenty of duplicates or files that you don't really need (Japan version - where an US version is already available, bootlegs etc.). It's you call if you decide to spends hours/days in order to clean that mess.
Place all those .zip files the ROMS/MAME folder (create the "MAME" folder, as it's not there by default), on your external SD card. In fact, you can name that folder however you like, but from here on, I'll refer to that folder as I've specified.
By default, the MAME4ALL emulator looks into your external SD card in the roms/FBA folder. As a result, your MAME folder that you've just created will not be recognized by the emulator. You'll just see the exact same roms as you are able to see using the FBA emulator. To bypass that, rename the FBA folder as you wish (you will change it back later). The easiest way to rename the foder is to use the already installed DinguxCmdr application. From /usr/local/home navigate to media/sdcard/ROMS. Select the FBA folder, press the X button and select Rename. After you renamed the folder, use the Y button to quit the DinguxCmdr application. If you're not comfortable using the app, just stick your microSD card into a card reader and use a computer but remember to always safely remove the card, as I've already corrupted two of those because of that.
Now open the MAME4ALL emulator. You'll see the blue splash screen. It will stay there forever if you don't press the A button. As soon as you do that, the emulator will give you an error message (on a black background), saying that it can no longer find any roms. It will then ask you to select a new folder into which it can search for roms. Navigate to the media/sdcard/ROMS/MAME folder and press the Start button. Exit the emulator using the L1+R1+Start buttons (at the same time). You're good to go now! If you reopen the emulator you will find a huge list in there. Select the desired games and press the A button in order to play them. Don't worry when you receive a couple of error messages; they're more of a disclaimer. Just swing the left stick and you'll get rid of those messages.
Don't forget to rename back the FBA folder or set the new directory path into the FBA emulator, otherwise it will no longer find and display the games.
On a side note, although I managed to run games with XMAME, I found it to be a major PITA, therefore I am using it only if MAME4ALL is failing with some particular games.
Hope this helps at least one person on the whole Internet