No, that's pretty much how you have to do it. My suggestion is to actually hit the appropriate keypresses on your keyboard though, since it is extremely easy to hit a diagonal when you are trying to set a horizontal or vertical while setting keys.
Then you have to manually tweak the sensitivity of the rotation in the specific cfg file, like ikari.cfg. That file gets created for each game the first time you play it in Mame.
I haven't nailed down the right values for the games yet, so I can't really help you there, and it's probably very computer-specific anyway. The only thing I can definitely tell you is that it's a HUGE PAIN.
