For what type of games, GBA or DS? I have no clue about GBA, but I can help with DS.
1. Grab the Action Replay cheats you want and copy and paste them into Notepad.
2. Add a @ sign in front of each entry (the text describing what the cheat is). Save it as a text file.
3. Use ar2cht to convert the text file to a *.cht file.
4. Use cht2supercardcheat to convert the *.cht file into a *.scc file.
5. Patch your game using the latest 2.61 patcher. Double-click the name to open the options menu for that game, and enable the cheat option, browsing to the location of the *.scc file.
The necessary tools (ar2cht and cht2supercardcheat) can be found on the English website at
http://eng.supercard.cn
Your firmware must be either 1.80 or 1.81 (or 1.82 for Rumble users only) for cheats to work.