First off you need a few tools,
A debugger (Softice or OllyDBG),
A mem searcher (Code Engine, T-Search),
A trainermaker (GTS or TMK; or a programming language like C++).
The tools can be found on
www.gamehacking.com. There's also an articles section there that lets you read the theory and a few samples.
Once you're finished there, you can get back here and work as a cheat developer. Once you know how to train games you're one step closer to making wallhacks and whatever cheat you like.