First step: Search next time; there's a couple threads like this.
Seriously, though, SSH into your device using the IP Address you find under settings with Username: Root, Password: Alpine, Mode: SCP.
Open the NES/gpSPhone on your device and look at where it says to put the games.
Navigate there in WinSCP, and put the ROMs in there and your done.
Sidenote: Change the permissions on the ROMs folders (under Properties, called "Octal") to 0777 to make sure that your games will save properly.
Good luck, it's really not that difficult once you get used to it.