Maybe because Sonic was for the Mega Drive not the Supernes, or was that just an example? If so yes it should work if you put the roms in the roms folder.
From the Xsnesx NFO, read below and see if this helps.
Rom Paths
xsnes9x.ini has been replaced by rompath.ini. xSnes9x V1.0 now uses absolute paths. Open up your rompath.ini file and change it to the path of your Roms. for example f:\xsnes9x\myroms. You must ensure you press return to end of the line as xSnes9x checks for a terminating newline char. Pathnames must also not have a trailing slash. eg d:\Roms\ is not valid.
If you dont specify anything in rompath.ini or delete the file, the rompath will default to d:\roms
