First, set up a samba server on a machine on your network that's always on. I have a Pi Zero acting as a pi-hole on 10.0.0.2 (see www.pi-hole.net), piggybacking on this. I only mention because the pi-hole project slaps. Your machine can be anything, Windows is great too since it has built in Samba, DLNA all sorts of fun sharing protocols.
To set that up on pi you can follow a guide like https://magpi.raspberrypi.org/articles/samba-file-server. Windows is much easier, just share a folder under Properties, Sharing.
So now I have a server share //10.0.0.2/share with a saves/ subfolder
On every RetroPie device, I now want to do two things: