I used cpu/lcd/ram-tweaker 2.1b to change my Mhz frequency, and I saved it by pressing Y.
OK
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Now, is this save universal?
No, most people use Gmenu2x, because it can set for each program.
To make it a little more clear, the tweaker will change the speed, until anything else changes it back, such as the stock menu, or a program that sets its own speed internally (many emulators have these options)
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Do programs work with the overclocked mhz?
Yes, I don't know of anyone programs based on the system clock for timing, most programs will just run more smoothly.