I'm not sure what you're doing wrong either, but AFAIK ClrMame should take care of it all for you just fine.
I use split sets since that method seems to have the lowest number of problems associated with it, but that means I have the keep parent ROMs around even if they're not playable in order to play the clones (not a big deal - in fact I don't know anyone who's stated that this is a problem).
Non-Merged sets are just a waste of space and fully merged sets you run into problems with game list generation and you can't delete ANY clones since they're in the same zip file as the parent ROM. That's a big waste of space, especially if you don't want your clones showing up in your game list.
-sab