Thanks. I think I was misunderstood on what a NAG screen was. I believe what I am talking about are the ROM check screens and bootup within the ROM. I assume you cannot skip those without booting from a save state.
I am having the same issue...I followed the same guide for a launchbox install of MAME. I downloaded the matching .252 no nag exe and overwrote the one in the mame folder within launchbox, but I will get nag screens when launching games....did I miss something?