go to your mamewah config folder. you should have a folder in there for mame.
copy this folder and rename it rocknesx (or NES or whichever name you want).
go into this new folder and your mame.ini should have been copied also. rename the ini to rocknesx.ini
now open this ini and change all of the paths that you set up for mame (e.g. the rom path, etc.) to point to your nes roms, etc.
change list generation method to rom_folder
i've never run rocknesx so i don't know what the command line will be but it should be something like (this is my nestopia command line, just change it to point to your rocknesx.
d:\emulators\nestopia\nestopia.exe "[rompath]\[name].[romext]"
go ahead and run mamewah. you should be able to hit number "2" to bring up the sub menu. then go to "select platform", you should then have mame and rocknes to choose from.
let me know how it goes.