If the card does wear leveling (high end ones do, low end ones generally don't), you pretty much don't need to worry. Even at the maximum erase/write cycle speed the card can sustain, it would take years (often 10s) to wear out a CF card. Flash is a lot more durable than most people believe. For reference, somebody calculated that if you were to erase/write the original 16MB Compaq iPAQ as fast as you could with the writes spread out evenly, it would take about 12 years to reach the guaranteed minimum number of erase cycles. If you did it on only a single sector, it would still take a month or so. This is cycling things as fast as absolutely possible, hardly a normal use pattern.
Even cards that don't do wear leveling will often start remapping sectors after they hit a certain erase count, effectively doing some poor man's form of wear leveling. Usually this doesn't result in data loss.
If the card doesn't even do that, your filesystem should have some form of bad sector handling. You'll lose some data (one file, probably) if you do manage to wear it out (highly unlikely unless you're using it for a swap file or similar), but still not too bad.
Unless MAME is constantly writing the high score files out and you leave the game running 24/7, you probably don't need to worry. Remember that reading flash does not cause any wear at all. I've had Linux based SBC systems running off CF cards for a couple years using it like a normal system (including log files, though there is no swap partiton) and haven't had a problem, though I am using good CF cards.