Yes, dragging and dropping is the method you use to transfer the files, just make sure you put them in their respective rom folders ex: sd:/SNES9XGX/roms. Make sure it's not one zip file with all the roms inside, I believe the emulators can read single roms which are zipped but I would still recommend unzipping them and just using the .SMC, .NES and .N64 formats (If the n64 games are in z64 or v64 format you can just change the extension to .n64)
You shouldn't waste your time on Sega Saturn games, the emulators are not even close to being playable yet and they may never be due to the power needed to emulate the Saturn's complex architecture.