Cheating is - sadly - not that easy with PCSX2. Here I will try to guide you through the whole process of creating cheats.
First up, activate cheats. Go to System->Activate Cheats.
Cheats are stored in a .pnach file. These cheat files are stored in "Documents/PCSX2/Cheats/cheat.pnach".
The Name of the .pnach file is the "CRC" of your game. To find your games CRC you just have to enable the console (Misc->Open Console) and start a game.
You will see the ID after starting the game in the console.:
Now you can rename your .pnach file to your CRC, in my case my file would be called "FAF99301.pnach".
The first 2 lines of your cheat file should contain the name of your game and a comment for it, mine is for example "Kingdom Hearts 2 Final Mix" and the comment is "Cheats for KH2FM". After these 2 lines you can add all your cheats.
Cheats are in the format of patch=1,EE,Code#1,extended,Code#2 and comments can be made with //.
Now you can either 'create' your own PCSX2 cheats with codes from the internet, or you can visit my own KH2FM Cheat Database with a lot PCSX2 Cheats already made. Have fun cheating!