Hi tobey,
You should read this : https://recalbox.gitbook.io/documentation/v/francais/manuel-de-base/les-roms-et-les-isos
It's still in french (translation coming son) but Google translate could help 🙂

By the way, the basic steps are :

find a rom of the game you wish to play (google is your friend)

copy the file (in the right format) in the right folder in your recalbox storage (HDD or USB key, depending on how you managed to configure your installation) - see here https://recalbox.gitbook.io/documentation/basic-manual/file-management

play it