Well 1st off those codes are for the U version of ssb i thought i would mention that incase anyone else tried it with a different region yadda yadda (I do hate codes being posted without correct labeling of region and version)
Anyway to answer your question:
Sometimes you will come across codes that will not work because of the way the real Hardware Gameshark/Action Replay rely on a Master Code to use codes as of PJ64 does not. (As Stated in the PJ64 User Manual)
So a Code might be slightly Different on the emulator then the Real N64 Console using a Cheat Device.
Also some cheats are made for the 8mb Expansion Mode where others are made for the default (No Expansion) of 4mb.
If you have a Cheat that requires the Expansion pak you would simple change the Memory Size from 4-8mb in the Memory Size Filed in Rom Settings.
Any way i have made the code Stage Select just now for you to try on PJ.
Super Smash Bros (U)
Story Mode\Player 1\Stage Select
D1045188 0010
800A4AE7 00??
00 Stage 1 (Vs Link)
01 Stage 2 (Vs Yoshi Team vs 18)
02 Stage 3 (Vs Fox McCloud)
03 Bonus Stage 1
04 Stage 4 (Freezes?)
05 Stage 5 (Vs Pikachu)
06 Stage 6 (Freezes?)
07 Bonus Stage 2
08 Stage 7 (Vs Kirby Team vs8)
09 Stage 8 (Vs Samus Aran)
0A Stage 9 (Vs Metal Mario)
0B Bonus Stage 3 (Race To The Finish)
0C Stage 10 (Fighting Polygon Team Vs30)
0D Final Stage (Vs Master Hand)
Note:
Press The R Button On Your Controller at the level Screen on Story Mode and you will go to whatever option you selected
As you can see some freeze but give it a go.