It is still a option, just not in the new fullset mame importer, that is there for people who have and keep a full romset. You can still use the old method of a standard import, making sure to say MAME is the emulator so you get the same filters screen as the new importer. This will then ask you if you want to move the roms to the Launchbox folder that are imported. But as @Lordmonkus says above this will only work with a non-merged set,as the other two set types rely on files that are in other zips that may not be imported. Also you will need to tell MAME where the files have moved to after, or it obviously wont find them.