Quite correct. Games are loaded onto the SD card by plugging it into the USB adaptor. The games are copied onto the memory card, which is then inserted into the R4. Just think of the R4 as an ' adaptor' for the NDS!
I recently bought 2 of these from Mong Kok.
I bought 2 NDSL lites AND 2 R4s. Let's be modest and say i'm quite experienced on this front (slightly in my arrogant tone!!! hahahaa)
It's a shop at 188 Wanchai Road. Can't remember which floor but turn right and go to the end and it's on the right. I haven't bought it yet but will be tomorrow (weather permitting). Will let you know the full address when I do.
After that, yup, just have your ROM files on there and stary playing.