It doesn't matter when or where you use the code. While the game is paused, (I used a Virtual Console Controller) you can do three things:

The game must be paused for this to work. I am not sure if the Wii Mote will do the same effects. On the Virtual Console Controller:

Y Button = A Button on Sega
A Button = B Button on Sega
B Button = C Button on Sega

Code - Effect

Press and Hold A - Play In Slow-Motion
Press Y -This will reset the game to the title screen
Press B (Can Only Press Each Time) - Will move onto the next frame