Depends on what version you are using. If you are using 2.6 or earlier just plug your USB stick into your raspberry pi, wait for it to finish blinking, pull it out and plug it into your computer and it will have a folder called ROMs. Open that folder and place your ROMs in the respective folder- GBA for gameboy advance, SNES for supernintendo etc. Then plug it back into your raspberry pi, wait for it to finish blinking, restart emulation station or your raspberry pi and on reboot the systems you added ROMs to will be visible in emulation station.
If you are using retropie 3.0 beta you will need to create a folder called “retropie” (without quotation marks) first on your USB stick and then plug it into your pi. It will create two folders, one for configuration backups (game scraped data etc.) And one folder for ROMs.