I did it a while back. I actually preferred to have it on my USB stick, for a whole host of reasons not really relevant for this thread.
Anyway, I am not in front of my recalbox, so I'm going from memory. I believe you need to go to system settings, select whatever recalbox lists as your hard drive, and you select it. Restart the computer back into your OS (Windows, for me). On the C drive, there should be a folder called recalbox. Place your ROMs in their respective folders in the roms folder. Reboot back into recalbox and your ROMs should appear. Let me know how that works for you.
Everything works fine now, except virtual Boy and ps3 controller has issues. A lot of the time it doesn't connect (wireless). Gonna get a xbox 360 controller in the next few days. Hopefully that works better.