Okay, here's how it goes, for my R4 atleast (but assuming you're using a CHEAT.DAT file, it shouldn't matter).
1) Download any CHEAT.DAT file, since you're gonna use your own cheats.
2) Download Cheat Code Editor (Google it up)
3) Load up your CHEAT.DAT.
4) Click the DS with a green checkmark on it and then click the binoculars
5) Find the ROM of whatever game you're looking to add a cheat to.
6) Then click the box thingy with green checkmark
7) Add the action replay code to it
8) Click the save button or whatever when its entered.
9) Huzzah! Success! Repeat steps 6-8 for another code for the same game or the entire thing again for another game.