truthfully i haven't tested that for a while, but I just tried this out in 0.6 (I happened to have 2 gamepads plugged in actually)
It seemed to work, I'd make sure you have the latest Jnes version (available on this board), and make sure both gamepads actually work in control panel for example
I wouldn't rule out that there could be a legit problem, but I'm gonna need a lot more specific information like "hang" doesnt really help too much... you should see a countdown waiting for you to do something... maybe a screenshot would illustrate your point better
make sure you read the "read first" post
http://emutastic.emulation64.com/jnes/control.htm
may also help