Google is your friend for the roms, best thing to do is download a full rar file with them all in and select the ones you want. I have the full rar file, but don't know the link?
when you say your downloading themes, are you downloading them through cydia? if you are, when you download them, do you see them in winterboard? sometimes if Cydia doesn't download properly they wont show
Ok...let's just make sure you're doing it right...so NES roms have to go into var/mobile/Media/ROMs/NES, but ROMs/NES doesn't exist. So you have to navigate to var/mobile/Media and then create a directory called ROMs then go inside that and create another directory called NES. Then throw all the roms in there. The files names are case sensitve. Hope that helps you more.