A complete answer could fill a textbook or two, but in short it really depends on a couple key things.
First, a given processor may be spec'd to run at a certain clock speed, but that by itself doesn't tell you a heck of a lot. One processor may be a great deal more efficient in terms of its architecture, meaning it can do more useful work in each cycle. Generally it's not even that clear-cut. One architecture may favor certain types of applications over other. So for two different processors both running at the same clock speed, one may be faster for games while the other is faster for surfing the internet (or whatever.)
As far as the single core vs. multi-core the clock speed vs. architecture discussion still applies, but it is complicated by having multiple effective cpu's running at the same clock speed (usually). Theoretically, you could nearly double the performance of certain apps, but only when
1.) Your app or game of choice has some data/processing tasks that can be processed in a parallel fashion.
2.) The software and operating system are intelligent about feeding the "work" to the different cores.
3.) (more stuff you probably don't care about...)
Right now I don't think mame really does much to take advantage of multi-core processors, so I doubt switching to a relatively old dual core like that Athlon 4200+ would do much for you. I suppose if you switched to a 64 bit OS and a 64-bit version of MAME that might make enough of a difference to be worthwhile.
As for moving the graphics card over I doubt that would do much either. It wouldn't hurt, and I suppose if the current integrated graphics chipset is garbage it could help some, but I don't think mame really stresses the gpu in any meaningful way.