indeed, once you have your game key (aka private header 32 letter code) in on all your games CFG files, delete all your save files. the new save files will be made with your private header in them. you wont see it in the save, but it uses the one in the cfg file.
note when going online there is 3 diffrent manufacturers for carts and the manufacturer will determine if it accepts the key or give you a error when going online. if it doesn't accept it, delete the save files, and change the manufacturer number in the CFG file, there is only 3 manufacturers, so just try each of the 3 codes untill 1 works.
when adding a new game, you have to load it on ur 3ds to the splash screen, then take it back to pc where it will have a save and cfg, delete the save and give it the key in the cfg and maybe change its manufacturer code.
manufacture code C2 is used for literally almost every single game by the way, so you may not have to do this, but keep it in mind. the error code for getting it wrong is i think ..uhh.. xxxx-0123 (i forget the first 4 digits but i think its like 0012 or something)
also rest assured, you wont be banned for using the wrong manufacturer code, you just get a error, because the game itself wont let you online.
on another note for easy testing of this, i recommend triforce heroes, it has no tutorial and you can access online multiplayer within 6 minutes of starting the game, its intro is extremely short. even shorter to 3 minutes if you skip it. it has no tutorial or intro really its just heres town, it has 3 buildings, there is the hub to go adventuring, GO! its just annoying to delete save files for games your far it, so i recommend getting it set up asap.
for games where you have got it all settup, you can backup saves to your PC. you can do this before hand as well, but they wont be compatible with your new save game key (private header) so don't bother backing up game saves untill you get it all set up!