That HD enclosure would work, but 2.5" hard drives are still pretty expensive. I think you would be better off with a 3.5" enclosure.
That said, you could probably set up a home network cheaper (assuming the computers are both in your home). I bought a Linksys 802.11b router for $40, and it still has a 4-port switch for ethernet.
I think the network would be more useful to you - Transfer files, share a broadband connection, online gaming on xbox and ps2, stream media to a connected DVD Player (I really like this one), use VNC to configure your mame pc from your home pc.
Either method will work for transferring roms, but a home network is to good to pass up.
Paul