it's not hard, the only time consuming thing might be looking for specific romsets for choosy emulators, but the mame4all zip has a nice gamelist and fba 2x has a gamelist for version 6 which can be used (obviously) for version 7.2 (the current one for the wiz).
picodrive runs everything, never had any issues, gpsp has a few roms that give problems, but not many, pocketsnes has problems with games using the additional chips for the snes (kirby super star, yoshi's island) but usually emulates everything else pretty well either with the regular gpe ("exe" file for the wiz) or the pocketsnes_fast. lemonboy doesn't give me any problem, haven't tried the other emus.
download inimaker from opendownloads, it creates all the ini files for the emulators you have in the sd's game folder (by the way, sdhc cards work with no problems), very useful.
so as they already said all you have to do is: download the emulators you want, unzip them, read all the readmes for useful infos, place them in the sd card in a folder named "games", place the roms in the roms folder that you usually find in the emulators (if there isn't one I usually create it to keep the files in order and the roms separated from the other files in the emulator's folder), place inimaker.gpe in the sd card and run it to create shortcuts automatically. that's pretty much it.
I also suggest you update boomshine (included game, but newer version is on openhandhelds) and you find the preinstalled stuff in the wiz's nand memory. I use it for the indie/homebrew games and wiz ports (anything whic is not an emulator pretty much).