For desmume, local wireless trading will work between emulators ONLY. Some people have had success connecting to the official WFC for trading over the internet, but I've never been able to get it to work. For either of these, you'll have to use a custom build of desmume that has the Wi-Fi options enabled.
Moving legit Pokemon from one game to another, should be fine. It will not affect the legality of the Pokemon. And yes, they will end up exactly as if you traded them.
It doesn't matter how much progress you've made; Pokedex entries aren't supposed to be flagged by importing Pokemon. Your Pokedex entries can be easily modified in PokeGen, or you can continue "hack catching" the Pokemon. It won't make any difference, and your game will still be fine.
There are plenty of .PKM files on http://pokecheats.net/db