That's one way to do it, but you can't use the cfg file created in game. The files in the cfg directory are different then those in the ctrlr directory.
You could also create one ctrlr cfg file and have a section just for neo geo games. Start with the slikstik cfg from mame and the slikstik cfg from the slikstik website as a guide.
To use that file, you have to add this in your mame ini file.
ctrlr slikstik
assuming that the file is called slikstik.cfg