Alright I'm going to try to help get you started.
In Mamewah press 2 to get to the menu.
Go to the Game List Options and press 1
Go to The option that says something like select custom list and press 1
Go to Custom list 1 and press 1
Go To Change List Title and press 1. This will give you a cursor at the bottom of the menu screen to Change the title of the list. I'll use "test" to keep it simple. After you enter your new title press enter.
To set up a list using filters you'll need to have the cartver.ini (google: catver.ini mame) file in your folder with your MAME.exe
If you just want to select specific games to be in your list do this:
Switch back to your main list by using the list selection described above.
When you have the game you want on your custom list selected press Z. This is the default for adding a game to a custom list.
This will bring up a list of your custom lists. Select the one you want the game in and press 1. MameWah will tell you the game has been added and press any key.
That's a simple way to create a custom list. Let me know if you have any questions. I can explain the layout designer later. I'm at work now.

-G