I downloaded the Win32 Cmd Line version of Mame, and then just copied across all the games / screenshots from Mame32 (only version I have) ... now I have it working with Mamewah.
I am a fool of the highest order .. so if I did it, it must be REALLY, REALLY easy .. or I fluked it big time, either way it's doable.

I think you can boot staright into Mamewah .. but (check the recent thread) it can be extremely troublesome. If you're using XP .. my advice would be to enable system restore and create a check point before going there.