It was a while ago and I converted only for my favourite games. For Snes I followed this tutorial.
Here is one for Sega Megadrive I havent tested yet but seems to work.
Just came across this for Mame I might use later. http://rbelmont.mameworld.info/?page_id=223 I also think there is software available so you can capture anything going through your soundcard and convert to wav/mp3 on window as an alternative method.
From my experience gameex plays some of the popular gamebase formats like C64-Sid Amstrad-AY anything else has to be converted to mp3. I done this with some Snes game music files I converted to mp3 and they play in the visualizer...they have to be renamed identical to the gamefile remember
There is an excellent gamebase tutorial here. Scroll down and download the PDF file its for the Atari ST but applies to all the other versions....C64 Amiga Snes etc http://www.gameex.info/forums/topic/11556-atari-st-emulator/ As for the amiga I use Winuaeloader for both whdload games and demos. Whdload game packs are from KillerGorilla site and are easily configured and run from Winuaeloader a brilliant tool.