Does the action replay have to be in ds to have the cheats?

For the regular DS, no. You put the DS Action Replay in, and then removed it, before putting the game in and selecting the cheats you want.

Due to enhanced security measures though, that wouldn't work for the DSi or the 3DS so their action replays have a slot in them for the game you want to use them on, the action replay is itself inserted into the console. The game has to stay there while you play it.