Well, check your JAMMA connector and see if a cable is wired to either pin "d" (lowercase ! uppercase D is +5V so don't mess with that one !) or pin 26. No need for wiring both, one is select up the other is select down but as you can cycle through games, no big deal in having only one.
Possible cases :
1/ if you have such a wire connected, then trace it to the supergun and check what is becomes inside the box. if it has a switch then you prolly had a select switch without even knowing
2/ If there is a wire but going nowhere inside the supergun, thats fine, simply connect any normally open switch, one connector of the switch to this wire and the other to ground. How to find ground ? you can either use the ground from the Power Supply (usually black) if jour supergun includes one (be extremely carefull in what you touch !) or any of the many ones available from the JAMMA harness (check diagram again : these are pins A, B, 1, 2, e, f, 27, 28...)
3/ If nothing is connected to pins d or 26, make the wiring by yourself and go on according to the scheme in 2/
Whether you want to put this switch close to the motherboard or inside the supergun is up to you. Personally I have the select buttons directly on my customs sticks (P1 has select up P2 has select down) as they are part of the DB15 connectors i use for connecting the sticks (4 directions + 8 buttons + 1 gnd + 2 spare conductors in case of ... )
Good luck !