It depends on how you're trying to set up the bezels. You can, in theory, put the .cfg anywhere and then point to it for each game. Or create an individual .cfg for each game. So it really depends on what you're trying to accomplish and how you are going to accomplish it.
I started messing around with individual bezels for arcade (and other) games, but then I stumbled across the Bezel Project. They have a preconfigured set of bezels for literally thousands of games (I count over 7000 games). You can also install bezels for individual systems. The only annoyance is that the roms need to be named according to the No-Intro naming convention, however this only affects console roms. Arcade roms are supported by their standard rom names.
You can see a video on The Bezel Project here:
You can get The Bezel Project script here:
https://github.com/thebezelproject/BezelProject
Once you're installed reboot and you can install bezels for individual systems through the Retropie Configurations in the standard menu.
