You can get The Ooze and Comix Zone without a SH save, but it's a lot of work, so just go for the save method, yeah.
The Xbox and PS2 versions have a nicer interface than the GCN one, and the Xbox version is quicker to save than the PS2 version.
Just FYI, though, it only has six of the Game Gear games that were in SADX, not all twelve.