Zsh code:

#!/bin/zsh

for i in /Volumes/MiSTer/Games/PSX/**/*.cue;
do
	tmpcue="$i:r"
	if [[ ! -f "$tmpcue.chd" ]]; then
		echo "Processing: $tmpcue.cue"
		chdman createcd -i "$tmpcue.cue" -o "$tmpcue.chd"
		if [[ $? -ne 0 ]]; then
			if [[ -f "$tmpcue.chd" ]]; then
				rm -f "$tmpcue.chd"
			fi
			echo "Error processing: $tmpcue.cue"
			exit 1
		elif [[ ! -f "$tmpcue.chd" ]]; then
			echo "Error creating: $tmpcue.chd"
			exit 1
		fi
	else
		echo "Found: $tmpcue.chd"
		echo "Skipping: $tmpcue.cue"
	fi
done;