Yes they need to be in folders, you can put them anywhere as long as you tell MAME the path.
Yes, bios files usually come with the romset anyway so no user input needed.
If you are using non-merged then the bios and qsound are in the sfiii3 zip, thats the whole point of having a non-merged set and it taking up all that extra space, each game zip contains all the needed files including bios files, hence the size difference as you will for example have hundreds of copies of the qsound file in a non-merged romset, every game that needs it will have it in the rom zip.