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Here, you can learn about the methods you'll need to dump games and console BIOS. These things are integral for preserving your library! If you didn't do these things, there would be no games to emulate, and no emulators to emulate them.

How to Dump Games / Create Roms

Dumping your games to .rom and .iso formats is an important step to preserving your video game library. Hopefully, we can provide you with a quick summary to help get your feet wet! Where do you begin? Well, the process is different for each format you are attempting to rip from. Generally, games have been on disks since the sixth console generation (The original Xbox, the PS2, the Dreamcast, and the Game Cube even if it is miniDVD.), though the original Play Station of the fifth console generation used disks. To dump a disk's contents, you first need to consider its characteristics. Think about proprietary security measures, or unique formatting. Think about what will happen to the disk if you go through with the dump, and make sure you plan around a favorable outcome. Ensure you can do the dump right- use lossless methods that will capture ALL data together- in other words, make sure you have enough space before you begin. You also need to ensure that you have an optical drive, or disk drive, that is compatible with your disk. Finally, you need software that can do this whole process- it may need to be unique to the console your game is coming from. When you have everything together, you can proceed with the rip. When it is done, you'll have a digital version of the disk!

I highly recommend you refer to this community wiki, Emulation General Wiki, as it is my source and is infinitely more thorough on the topic, showing you sources to help acquire the tools to dump games as well as how to dump games across many kinds of storage devices, from disks, to cartridges, to even arcade cabinets.

How to Dump a BIOS

Dumping your BIOS is an important step in emulation, too. Some emulators require you to supply your own BIOS to function, as they cannot share the legally protected proprietary files that make your console work either in general, or without a key of sorts in certain cases. That being said, you can infer that each console is different, and sometimes this step isn't necesarry. When it is, every console is still different, so the way you obtain the BIOS is different with each console. The general parts shared across consoles however is the fact that to do this, you will need a console, and you will need to mod it so you can use homebrew, or custom made, software on your console to dump your BIOS to a properly formated storage device for use on the device with the emulator that requires a BIOS to function. For PCSX2's process specifically, you can find their guide to doing this here. It is indepth and can give you a good idea of how this process should play out with other consoles as well.