I would first play them on a good emulator, approved by
SRL, to ensure there's no emulation problems with the Retron 5. The Retron is good for casual stuff but, for example, I can't run Zero Mission on my Retron as it lags badly whenever bugs are on the screen (a few times a game), which doesn't happen on a PC emulator nor actual hardware.
Obviously the best way is to use actual hardware as you're guaranteed to have the game running as intended, but I'd only suggest that once you've gotten in to it
I'd suggest heading to
SDA and joining the forums there for their advice as well, plus search their game list to see if the games you want to try already have videos, as you can use them as a guide to improve your route and techniques.
Capture card wise, you can use an
EzCap or
Dazzle for simple composite connection for now. They're cheap and do the job just fine. If later you decide you want better quality, you can get a
PEXHDCAP and start looking into using RGB (via a
SyncStrike) or S-Video.