Add the system cave in hyperhq and just use MAME for the module. point to your mame rom folder for those specific cave games. Make sure you have a latest version of mame that include cave. I think thats a few versions ago
for CPS I got it to work but not sure if it was the best way since I got a Red ! lol. Add Capcom Play Station in HyperHQ and I use Final burn alpha as a emulator by using the add emulator. then I browsed for the locations of everything. I think you have to manually type in the address to the module (Final Burn Alpha) since it wont let you browse for it. Also I might have made a copy of the module and Named it to Capcom Play Station but can not remember.
But anyway it works. Hope this helps