You should check out the wiki:
http://wiki.gbatemp.net/index.php?title=3_...V#Initial_Setup
It has some great information for this setup, and I helped write it!Â
In regards to your specific question (which is vaguely touched on, but not covered in depth), you will need to SRAM patch most of your GBA ROMs, using either GBATA or the EZ tool (both linked in the wiki). I believe that The pokemon games need to be patched with the EZ tool as they have a 1024kbit save (would love confirmation on this from someone else in the scene). I've been told that using the EZ tool in any other case can lead to lost saves (I've always used GBATA and never played Pokemon so I can't verify the validity of this).
Good luck and enjoy the hardware, its a really groovy combination.