@eyeandroid I've been looking for this for the past couple of days. It is indeed possible, and I'm replying because this is the top result when searching for ROM directories.
The path is: /media/pi/share/roms
You right click that folder, and open it in terminal. Next you type
Sudo chown -R pi:pi /media/pi/share/roms
Then you can move the roms to the appropriate folders.