I was kinda having trouble with this, but I later found out how to actually put cheats on my r4 sdhc (a clone of the original r4). So for anyone who wants to know...
All you need is the
original cheat.dat (included in the r4 sdhc firmware)
the xml cheat file on gba temp (the updated one)
r4cce (cheat code editor)
Open up the original cheat.dat using r4cce (and you'll see a bunch of messy files ; don't worry about it) and minimize it.
In a SEPARATE window, open up the xml using the r4cce, and notice how neat the files are.
Basically, you can copy and paste games between these two windows. So look for the game/games (that you want cheats for) on the xml file (the updated one), and copy and paste it into the cheat.dat (the one with all those messy looking figures). Then, just save the cheat.dat (it should be relatively bigger), and place this in your system folder on the r4 sdhc (over-writing the previous cheat file).
The links..are not here. I'm sure you can find them through google and gba temp.
Credit to the author of r4cce and gbatemp.