The default R4 firmware has some serious issues with cheating, Certain cheat types won't work at all unless you get an edited _DS_Menu.dat file. And there's a hard coded limit on the number of entries in the database the R4 can support, entries after that number is reached are ignored by the firmware.
Visit the official cheat thread for more explanation and a link to the edited _ds_menu.dat and a better cheat editor
http://gbatemp.net/index.php?showtopic=84991
I'll try to explain it a little here too...
The latest cheat.dat OR usercheat.dat file supplied by GBATemp's loveable Narin are too big for the last and final R4 firmware (1.18) to handle.
Cheats are stored alphabetically in the database. As more games are added to the cheat database, more games will not display the option to cheat (on the R4) and the earlier in the alphabet the cheats will cut off at. I think at the moment, games that start with an S or T or any letter after that will NOT work with the default R4 firmware. They do not show the option to cheat, despite having an entry in the database.
This is a limitation of the R4's firmware, it can only support a certain number of cheat entries.
If you DO get the option to cheat displayed for a game (You can press Y to cheat), it will open a small cheat list of blue and black text on a grey background. You have to scroll through and enable the cheats you want. Follow the on screen instructions. You should see an entry that indicates how many of the cheats for a particular game you have enabled.
Running the game from then on should always use cheats you have turned on. Pay attention to the cheat list page as sometimes certain cheats require you to press activator keys during the game to enable the cheat. These activators are listed on the cheat screen.
You should only use either of the usercheat or cheat dat files, NOT both.
The better cheat editor is R4CCE. If you're determined to use the R4 firmware then you can use this to delete entries for games you don't have. Its a long and boring process and is something you will have to do EVERY TIME Narin releases a new cheat database and you decide to update.
If you're having trouble just cheating, then I wish you luck with this but you might consider trying to use YSMenu on your R4. I recommend using it as a NDS rom that you can load from the R4 menu, so you have both options available. Ysmenu has better cheat support.
There are loads of confusing threads stickied and not stickied in this forum explaining the many convoluted ways to set up ysmenu. It can be quite confusing. I wish you luck with that and refuse to help any further
