-Start the game with the GS switch on.
Exception: Some codes will specifically state it. They need to modify how the game loads.
-Save the game with the GS switch on.
Exception: Some codes will specifically state it. They need to keep data held in a specific state while the data is written. I don't know of any of these codes, but there could be some.
-Believe an outlandish claim from a friend who gives you a code with a smirk. Nothing will let you access Gold or Silver monsters, but there are some codes that can erase your game.
Exceptions: If your friend is that trustworthy...
-Run a code, do something else, note that the code doesn't seem to be running properly, play like normal, save.
Why: If you entered a code wrong, you should NEVER save the game, as it could have written a bad value somewhere in RAM. It probably didn't, but it could have. You could save the value, and who knows what it could do.
-Assume the code is for your color of Gameboy. Go ahead and test, but if it doesn't work, "convert" it to yours and see if it starts to work.
Personally, I never play with the shark on. I use it to set values (like stat EXP), then I turn the switch off. Pokemon has way to much data and is glitchy enough to start screwing with RAM and hoping everything goes alright.
Hope this helped,