I have a new 3DS with CFW and Twilight menu ++. I took NeoDs and the neo roms from my DSi and placed them on my 3ds.
In /roms/nds/ I placed NedoDs.nds. I also placed the MAME folder here, even though I also placed it in root.
In the SDcard root, I placed MAME folder and also the neo geo roms...