If you download a ROM (Which is legal to have one "back up copy" in the US provided you also own a legitimate copy of the cartridge) then you need to find a place on your SD Card to put it.
I created a folder called ROMs, and under that, are separate folders for each emulator (NES, SNES, Gameboy, etc.) that I store the actual ROMs.
Most sites that you download them from, will have the ROMs compressed in either a .zip or .rar format, which the emulators can not read. You will need to use your favorite unzip program (On the Droid, it would either be AndroZip, or I believe Astro can handle them as well, or on a PC you'd need WinZip, WinRar, or 7Zip, something along those lines) to extract the .sfc file from the archive, and then place that file in the folder.
Here's an example:
1) I love Actraiser, but I don't want to pull my cartridge out of storage, so I go to www.<insert favorite ROM site here>.com and download actraiser.zip to my NexTheme flavored Kangerade dispenser to the /sdcard/ROMs folder
2) Open AndroZip and navigate to the ROMs folder
3) Extract actraiser.sfc from that file to ROMs/SNES
4) Open SNESOid and enjoy the god-like goodness!
On a related note, there is a company that is making a $15 add-on for the Droid that slips over the keyboard and gives you an actual controller with a d-pad, reviews of it look pretty good. I don't remember what it's called, but I'm sure it'll be easy to find if you click on the link in my sig
