Hi,
I have a steering wheel that looks EXACTLY like this one, made by CH Products. It is great for PC driving games. But it does NOT work well in MAME. MAME driving games uses the spinner driver. The steering wheel only appears as a joystick to the PC. So, you won't get any better performance from this than you would if you played with a joystick.
You can get a much better, and more arcade like steering wheel off ebay sometimes (usuaully only $20 or so). When you spin them, they keep going and going and going. The one pictured here, turns a half turn then stops (joystick left, joystick right).
Don't get me wrong, I love this wheel for PC games. Just not for Mame.