Added a TODO. Also oops the FAQ URL I forgot to paste in two commits ago was http://mamedev.org/devwiki/index.php/FAQ:Setting_Up#Where_do_I_place_the_.CHD_.28compressed_hard_disk_image.29_files.3F
Fixed MAME not looking for the CHD file in the subdirectory by telling MAME the subdirectory exists, oops =P Still not loading the CHD...
FINALLY GOT CHDS WORKING! Turns out my splitting logic was bad. Also left another TODO.