I have not tried this in the new version (v954b), but i had it working in v952b. What you need to do is know where the EMU is putting the snap when you take it. From their you have to put that path and file name in the CGF file for that EMU. IE PJ64 creates a file called snap0000.bmp, so in the CFG file where it says "Replace Artwork..." then enter this
d:\nintendo\n64\project64v1_5\screenshots\snap0000.bmp
(what ever your path is, some EMUs let you change the output DIR of the snaps too)
Then once you take a snap in the emu (given the emu was launched from MW) it will rename the snap when you exit the EMU (also i have noticed you have to scroll off the game and the come back to see the new snap). Also some EMUs incrament the number, so it goes Snap0000.bmp , Snap0001.bmp... If it is dumping a different file name then MW can't rename! Check to make sure you don't have a snap sitting in the Snap output DIR forcing the incrament.
Does this make sense? Instant Message me if you need further help / clearification.