In the end I plumped for a PSP for the best mobile retro gaming solution so had been sorting out collections and sets for that before I finally got myself an iphone 3GS about a month ago.
I've found there are a good selection of emulators out there for it and they're getting better (PS1 is getting better with each PSX4ALL release) and although ZodTTD's emu's are great, I recommend using iMAME4all instead - the latest build supports multiple Wiimotes for control as well as native TV output support via a TV-Out cable and much more configurability than MAME 4iPhone.
Instead of trying to convert romsets (can be a very long and tedious process), you will do better to get on torrents/Google and find the 'GP2X romset' or 'MAME4all romset' which will be the same as the set you need for your iPhone. What I have found though is that many supposedly working games still do not work, or stranger still, you actually need the rom from another build of MAME for it to work (TMNT, Simpsons, MK1+2 come to mind) so what I have done is manually gone through, weeding out the chaff and replacing/modifying the rom for reportedly working games so I have a 'pure' list - this is something I did with my own arcade cabinet so it's no new thing to me!
Right now I'm about half way done with my iPhone MAME. Here's a quck video I just made: