You need to upload them to your iPhone to /Media/ROMs/NES I believe. To do this install SSH on your iPhone from Installer. Next connect the iPhone to your wireless network at home, and SFTP into it using an FTP application like Cyberduck. You'll need to enter it's IP address (find it under your network info on the iPhone), username root and password alpine. Then just click Media, make a new folder called ROMs and another in that called NES. Copy your ROMS (Google NES ROMS to find them) into that folder.
Hope that's clear!