The current version of GameEx can do it.
How is it done in the current version? Is XML editing required?
I have it working that way in Mala by modifying mame.xml and using a batch file in place of mame.exe to launch the appropriate emulator (SGT's method).
I really like having all the arcade games together, but Mala is no longer being updated to work with changes in MAME so I need to find a new front-end next time I update the cab.
EDIT: If you're taking requests.....
Ideally how I would like it to work is that you'd be scrolling through an emulator gamelist (while in the front end) and then you could either right click or press a "add to gamelist" button.
That would bring up available gamelists that the game could be added to. The gamelists wouldn't be restricted to one emulator. You could add MAME, Demul, Model 2, Supermodel, etc all to one Arcade Favorites list. I wouldn't want everything in the cab on one list. I'd still want to be able to keep the Steam/PC and console games separate.