You can read about the feature from when it was first implemented here:
http://blog.andressm.org/new-retroarch-features-2/
However, when that was written, there was no way to create them from the menu. You can now. The way to do it is just load up a core and some content, change the settings you want to change and then go to the quick menu and choose ‘save core/game override’ and it will override those options whenever the core/game is loaded.
One important thing to note: once an override is loaded, it will no longer save config changes on exit. if you want to save changes, you’ll need to either re-save an override or use ‘configurations’ > ‘save current configuration’ from the main menu to save the changes to the retroarch.cfg.