Thanks to Droiddoc97!
Tutorial on YouTube.
1. visit here http://wiki.gp2x.org/wiki/CPS2emu and find the game you like to play.
2. For rom file, you need to search for the exact zip file name next to the game title.
For example, for Vampire Saver 2, it's "vsav2.zip".
3. Use your PC and Google search "vsav2.zip" to find a rom set.
4. Copy the zip file onto your sdcard.
5. Run CPS2HD and click "Generate Cache File" and choose the zip file.
(this is one time only and will take couple minutes to generate one...so, please be patient!)
*** IMPORTANT: DO NOT Change the orientation or push any key during the process of generating cache file!
6. Play the game :)
For touch control, please find an instruction at here.
There are some games which requires two rom sets.
And please avoid rom file that needs a special instruction such as "only work if Decrypt option is activated"
For example, for marvel vs capcom, I would need both mvsc.zip and mvscj.zip.
And you MUST generate cache file for "mvscj.zip" and load "mvscj.zip" to play! (not mvsc.zip)
I google search for the above rom files and found these location.
There is a paid app called "Rom Buddy" on the market.
It allows to download cps2 roms directly to your phone.
I haven't tried it out myself so, please flag here if it doesn't work.