I’m assuming you are using RetroPie 2.3 ?
All your MAME roms (should be about 2,000 zip files) in zip format should be stored here:
/home/pi/RetroPie/roms/mame

A MAME romset (of 0.36b5 anyway) should be about 2GB in size.

Your MAME entry in es_systems.cfg should be

    <system>
        <fullname>MAME</fullname>
        <name>mame</name>
        <path>~/RetroPie/roms/mame</path>
        <extension>.zip .ZIP</extension>
	<command>/opt/retropie/supplementary/runcommand/runcommand.sh 4 "/opt/retropie/emulators/mame4all-pi/mame %BASENAME%"</command>
        <platform>arcade</platform>
        <theme>mame</theme>
    </system>