There is only one CFW (custom firmware) available (I'm ignoring all others because they are redundant and/or not that good) and it works pretty good. There is no 'loaders', though I guess the drivers could be the PSP equivalent.
To get cheats to work you'll need a cheat plugin, which is nothing to do with the firmware like it has to be built in on DS.There's one called CWCheat if you want to look up that.
Just follow Rydian's softmod guide and then go searching around for CWCheat tutorials, there's probably one on this board.