I assume you have no GBA suporting cart to go with your DSX or I would say
link to the past: ported to GBA
Harvest moon, numerous versions on both the GBA and DS
starfox, doubt it will work as it is one of the special chip games
FF6, Japanese GBA port released recently and US version soon to follow.
As for a step by step, according to the review you just make it using the normal method (quote from pocketheaven wiki):
1. Get snesDS.zip from the official site
2. Unzip somewere and start snesDS.exe
3. Click on the open folder at the bottom left to browse to the rom directory (your unzipped snes roms should be there)
4. Press the "save" button and save the snesDS.ds.gba file
SNESDS:
http://www.eng.utah.edu/~tew/snesDS/