Instructions
Using Action Replay
Plug the Action Replay cheat device into your Game Boy Advance.
Insert your "Pokemon Sapphire" cartridge into your Action Replay game slot.
Load the cheat "9E6AC862823AB7A8 8365F8FA817CF3E9" into your Action Replay when prompted. This is the "master code" for your game, a special code unique to each game that unlocks the ability to add further cheat codes.
Enter the code "CE2CCCB2 5D8D815D" into your Action Replay cheat manager to enable the Walk Through Walls cheat.
Using an Emulator
Download and install an emulator such as Visual Boy Advance or No$gba.
Start your emulator, and load your "Pokemon Sapphire" ROM file.
Open the cheat manager for your emulator and add a new cheat. For Visual Boy Advance, select the "Cheats" menu, and choose "Cheat List." Click "Add Cheat" to open the new cheat dialog. For No$gba, select "Options," "Cheats" and finally "Add New" to add a new cheat.
Enter the code "CE2CCCB2 5D8D815D" into the dialog box. This code will unlock Walk Through Walls mode.