if you know how to handle batch files, this should work:
@echo off
@cls
set rompath=E:\EMULATORS\ConsoleISO\PCE-CD
set destpath=F:\TMP
for /R %rompath% %%G in (*.cue) do (
echo.
echo === Converting %%~nG to CHD ===
chdman createcd -i "%%G" -o "%destpath%\%%~nG.chd" -f
echo.
echo.
)
edit “rompath” and “destpath” to your setup. save with .cmd extension to where your chdman is and then run in a dos prompt.