A full set provides the complete MAME 0.251 experience, but you can certainly collect individual games. Just ensure each game's dependencies (parent ROMs, BIOS files, CHDs) are present.
If you want a that works predictably, MAME 0.251 Full ROM Set is an excellent choice. Just remember: respect copyright, support official re-releases when available, and appreciate MAME as the digital preservation marvel that it is. Mame 251 Full Rom Set