place or store (something) in [a collection of historical documents or records providing information about a place, institution, or group of people]
If you were downloading roms in order to build your archive, that would be piracy, but the downloading roms is the issue there. One could argue that downloading roms is fine if you own the games in question as well, but I doubt anyone wants to test that in court.
Well, from a purely legal perspective that's not any different than "regular" piracy.