You need the current roms and the rollback roms. Then you need a dat that describes the set you want to make. Then you load the dat into clearmamepro, and point cmp to your roms collection. Then cmp will use those to rebuild the set you want.
It will work with CHD's, but you're looking at huge file sizes for the entire collection. Approximately:
1) Mame roms (23 GB)
2) Mame rollbacks (5.6 GB)
3) Mame CHDs (105 GB)
4) Mame Rollback CHDs (162 GB)
5) Laserdisc CHDs (77 GB)
CHDs are hardly worth it, most don't work or aren't playable or defective if they do.
The best place to go for all this and more info including tutorials is
site link removed by saint - no links to sites hosting illegal ROMs please. Thanks
<edit> Oops, my sincerest apologies, thanks for the correction saint and it won't happen again.