Yes you do... You designate snaps in the options menu of Mala.... Your template (sounds like you have a custom one) must also have the snaps laid out in it as well. Then the snap titles (jpgs) must have the same file names as your roms so as you scroll, the pictures match up correctly...
High Score
Hiscore.dat is a complimentary file to help MAME in saving high scores in version 0.32 to 0.107u1. Most MAME games save their high scores by default, but over 2500 games do not save their high scores.
The Hiscore.dat file tells Mame some additional information and how to read and store the high scores using the /hi directory instead of /nvram.
As of MAME version 0.107u1, however, Hiscore.dat is no longer supported. Hiscore.dat has been replaced by the use of save states due to issues that the file caused with proper emulation.