If possible, I think your best bet would be to feed an outlet box with that Romex and then simply plug the new receiver into that. Not sure what to make of what appears to be two Romex cables entering from the top and bottom of the existing receiver's j-box, but whatever is going on there, you could simply reconnect everything in the same way within the outlet box. Or you could do as you suggest, by installing a j-box to properly contain the connected wires. In any case, be sure to observe standard wiring safety and practices and use adequate strain relief(s), or simply hire a professional.