In order to save .PNG screenshots of the games you're playing with MAME4ALL, you first need to create the folder <snap> in the main program folder (eg: the folder where <cfg> is) and then configure the combination of keys in the in-game menu (MENU+SELECT).

Out of the many I tried, the UP+Y combo turned out to be the most convenient to me. (It has the drawback of occasionally taking unwanted screenshots, but you don't go up and push Y often. And besides it's much handier, while you're playing, than more complicated combinations involving L/R and VOL-/+.)