OK my frontend MAMEWah allows you to do SOME of this annoying work:
It will rename snapshot filenames for you in order to be the same as the ROM name (apart from extension of course). It will not however convert the image type - you will have to do this as described earlier (MAMEWah allows .PNG, .GIF, .PCX, .JPG & .BMP images).
For a description of how to set it up for Gens (eg romname_000.bmp) visit
http://mamewah.mameworld.net/Emulators.html . I'm pretty sure it should work with most emulators as well.
Having said all that, this was written to help if you are TAKING snaps now - ie not if you already have a bunch of snapshots. BUT it will still work, so long as you PLAY each game (but don't take a new snapshot). Does that make sense??
If you've got a load of snaps to take, use MAMEWah to rename them, run a batch process to convert to PNG, and go back to Lazarus

Or just use MAMEWah

he he