Some emulators will automatically assign the appropriate file extensions, while others will not.
If you try and double-click on a ROM file to open it, you might find that nothing happens. Depending on the system you’re using, there are a few different ways to launch your game. Once you have the ROMs and emulators downloaded, you can actually play retro games on macOS. So don’t worry about finding macOS-compatible ROMs, since such a thing doesn’t exist. As far as the ROM is concerned, the emulator is the operating system. Note that ROMs themselves don’t care about your operating system. A number of torrent trackers include ROM downloads for a variety of systems, typically packaging hundreds of games together in one torrent. However, ROMs can still be found in the same places you might pirate other copyrighted content.