You need to SSH them onto your phone or download packages with the ROMs to get games.
I would suggest youtube for tutorials o this, there are some surprisingly helpful videos.
I would suggest a search for: nes4iphone roms install
All good man
Just to be clear, you get what a ROM is right?
snes4iphone is an emulator that can play roms. If you dont understand the terminology I suggest googling.
SSH allows for you to connect to your phones internal files over Wifi via rooting.
You need to install SSH on your phone from cydia and get a program like WinSCP(Windows) or Cyberduck(Mac), to get it working. If you just want to put them on via USB connection, i hear iFunbox works.
To find the ROMs i would google aswell, be carefull for viruses.
OR you could bypass all of that and find a package of ROMs on cydia for free that go right in. But then you will have a lot of games you dont want.
Seriously though, youtube is your friend on this. You can find all this info in nice tidy video formats there.