It's all in the PinballX manual, ya know? It covers the directory setup, media types, and how to get everything set up.
If you want the easy way, grab the Database Manager from the download page. Within DBM you can drag and drop your media right for a system as well(or get it from the gamex ftp, too).
It's super easy to use, and the 2 guys keep updating it to work with the latest PinballX and add new features.