CUT files need to have a line in them pointing to the thumbnails you wish to use. Can't just put in a TBN with the same name (as you do with videos or XBE files or whatever) or XBMC will regenerate the thumbs EVERY SINGLE TIME you open the folder.
But after the first time you've checked out your icons, they get cached in a central location (along with all your other icons). Haven't really noticed any CUT related lag myself, truth be told, but of course I don't have hundreds of the things in the one folder...
Anyway! Back to the subject at hand.
There is a patch for Surreal (either version 1.0 or 4.5b, the documentation is not clear on this) that allows you to use shortcuts via EvoX (but not XBMC). I don't think it's listed in any of the usual places, you'll need to trawl the boards a bit if you wanna find it.
I once started work on an XBMC script that allowed you to boot specific ROMs but stopped work as there was no way to integrate it in with all the other emulators via the Programs menu (short of creating a new XBMC skin).
I've been thinking of patching Surreal to act like X-Port's launchers myself, but I've been saying that for nearly a year now, so...
