Anytime. I personally don't do it in stepmania because both the start and select will take me to another menu and it's very annoying.
To test whether it worked or not, you can take it into options and go to "test input".
Holding left, before you put in the code:
http://i30.photobucket.com/albums/c3...een00000-1.jpg
Holding left, after you put in the code:
http://i30.photobucket.com/albums/c3...creen00001.jpg
Holding left and right after code:
http://i30.photobucket.com/albums/c3...creen00002.jpg
The problem is, the adapters configure arrows like a joystick, you can't move the joystick both left and right at the same time can you? So this code changes it from acting like a joystick to acting like separate buttons.