And, I'd avoid action replay. Although highly unlikely, Nintendo has 100% legal rights to sue you for using one, but it is unlikely that they would ever see your game.
Yes, Action Replay is obviously
illegal, since they sell it at most retail stores.
Nintendo can't sue you for buying a product such as Action Replay. The only thing they can do is make your warranty void for using a non-licensed product.
Well, there's a lot of things I can talk to you about how to set up your Action Replay, but it's lengthy. You can PM me if you like and I can continue to help you that way, OK?