1. If I download the ROMS.LST Maker v1.2 program to make a ROM List, where do I put the file that it makes ("ROMS.lst") ?
It goes into the same folder where your games are located, e.g. C:\BootDreams\DSNES\ROMS\. Make sure ROMS.LST includes each and every game you got in that directory as otherwise it scans for ROMs that aren't listed.
2. Is it OK to put a "NO_ROMS.HERE" file in the sound, locale, and gfx directories from the DreamSNES plain files?
Yes. It should go in the root directory too. Basically in every folder where you do not have any ROMs or don't want DSNES to check for them.