Here is how I've been able to play ROMs directly off the SD card.
1. Find an IPS ROM-patching program that can create patches. I used SamIPS2. Mac users can run this in Wine.
2. Click "Make IPS" tab
3. For current file, find the game ROM you would like to play on your Retron, like Sonic and Knuckles + Sonic 3.
4. For original file, put the ROM of a game you own. So basically, find the title of a game you have lying around, like Shaq-Fu. Find a ROM that matches that title, put it here.
5. Under "IPS file," you can name something whatever you want here, just use the .ips extension. For instance, Sonic-Knuckles-Sonic-3.ips.
6. Click "Create Patch."
7. You now have an IPS patch file. Load it onto your SD card, place the aforementioned game you had lying around into your cartridge slot and select that patch from your SD card.
8. Start the game. You'll be playing Sonic and Knuckles + Sonic 3, but Shaq-Fu will be in your cart slot. Not too shabby.
Note: You need "Patch expects header" selected for SNES;
Sega, GBA, GB, GBC have all been tested and don't need Patch expects header selected. Downloading some NES ROMs now to check that part out, but I'm assuming NES/Fami/SMS will work the same as the other systems.