No it doesn't work. That's why were asking Datel to make one.
My Reply Back From them
Unfortunately, the Save Feature of the DSi Action Replay is currently incompatible with Pokemon HeartGold and Pokemon SoulSilver. An update to resolve this issue has not yet been released. Once available, information on any updates will be posted at www.codejunkies.com and will be available for download through the DSi Action Replay Code Manager PC software.