i add them to addons folder then the systems folder that you have.
as so
boxart
roms
snap
wheel
then i have the cfg file like so
# Generated by Attract-Mode v2.6.1
#
executable $PROGDIR\emulators\Mame\mame -skip_gameinfo
args a2600 -cart "[romfilename]"
rompath $PROGDIR\addons\Atari 2600\roms\
romext .a26;.zip;.7z
system Atari 2600
import_extras addons\meta\hyperlist\Atari 2600.xml
exit_hotkey Joy0 Button6+Joy0 Button7
artwork boxart addons\Atari 2600\boxart
artwork snap addons\Atari 2600\snap
artwork wheel addons\Atari 2600\wheel