The BIOS file, neogeo.zip, for NeoGeo games using lr-fbalpha can be placed in the BIOS folder (source). This does only work on recent versions of lr-fbalpha.
I set up my Neo Geo system recently and placing neogeo.zipin the BIOS folder did not work on v0.2.97.39 that was installed on my system. It worked fine when I updated to v0.2.97.42.