@anasazi29 Broadly speaking, here is what you need to do: You need a python script that will watch a GPIO pin (that you have wired to a normally open switch like an arcade button--other wire to ground) such that when the button is pressed, the script sends a keypress. The key you send (suggestion: "ESC") would have to be picked up by the emulator as EXIT. So, you will have to go into your retroarch.cfg file, disable the hotkey function, and set the EXIT function to "ESC".
I know of a few ways this has been done in the past. One of the more popular is to use the adafruit Retrogame software. This basically takes care of the scripting process and leaves it up to you to configure what keys the GPIO pins trigger. Some folks use ONLY this solution for input control.
I also like mholgatem's GPIOneer which does the same thing, but uses a more elegant interactive configuration, then a web interface once it is setup. It is also easy to configure combo keys and to send full commands (I use it to send commands to increase and decrease master volume).