There are 2 ways of doing this.. the first way, and easiest way, is just add the bios file into your rom folder.. I.E. NEOGEO.ZIP, or midssio.zip, etc, etc...
The only problem with doing it the quick and easy way, is when you run HyperROM2XML, that BIOS file is gonna show up on your wheel and make all that work you did installing the wheel art and themes look sloppy..
So what to do??
Simple, just add the bios files to the rom's .zip file instead.
Disadvantages to doing that.. you will have altered the original rom and the file size of that rom will be larger... but meh.. at least it looks cleaner on the hyperspin wheel.
Here is an instructional video I did showing how this is done, just follow along and read annotations.