The Gentoo official method is:

mkdir -p /etc/portage
echo "app-emulation/sdlmame ~arch" >> /etc/portage/package.keywords
emerge sdlmame

That will get you 0.127 installed on your system. It looks like there's no set location for ROMs; just keep them in your home dir I guess.

Personally, 0.127 isn't new enough for me, so I added a location in my home directory to my PATH, and I manually compile sdlmame, and copy the binary there.