As CrashOverRide said, no SD Card ships with the Mega Everdrive. Depending on your game library, a 1GB MicrsoSD can nearly hold the entire Genesis USA catalog. If you add SegaCD images, additional systems & regions, you'll need more space. I can't imagine using more than what a 256GB MicroSD Card can hold in any use case. If you stuck to one region's releases (Genesis/Master/SegaCD), 128GB is more than enough.
Regarding the file structure of where to put ROM images - create a folder in the root of your MicroSD Card, name it what you want, and put the ROMs in there .. for example "Genesis Games" or "Master System Games". It's up to your imagination how you want to make your folder layout. Maybe you'll want to create subfolders by game genre, or some extra folders to sort out A-E, F-H, etc. Personally, I have one folder per console & region (i.e. "Genesis US") and put all US-released Genesis titles in there, and so on.