What you should have is nothing but .Bin/.Cue files or .img files or .iso files. That is what the psx emu will read. The .Cue sheet is loaded into the emu and simply points the emu to the correct files for that rom. If some of your games have wav files, you need to convert them to .bin files so the emu will recognize them. There is a program called WAV to BIN I believe that will do that for you. Simply put all of your .wav files in a dir and run it, it also should spit out a .Cue file for you too, just edit it to include the other .bin files you already have…

You are going to want cue files with this emulator, even though I believe it can read just .bin files, when it comes to EmulationStation, you will need to edit the ES cfg file and remove “.bin” from the list of supported files for the PSX emu. The reason for this, as you have noticed, is many of these games have multiple .bin files, so when ES scans the roms folder you will have a game like say Need for Speed 3.cue, Need for Speed 3 track1.bin, Need for Speed 3 track2.bin…. etc….. So basically your ES PSX system will be a mess of files…. If you remove the bin file extension as noted above, you will only have one cue file per game, which when launched via ES, it will correctly load the games…

Hope this helps