With THAW specifically, it can be done two ways. The modpack I released included some mods by XtecuterX73 and he added it to the menu in it's own spot because it's a cheat flag specifically in THAW. Because it's a cheat flag that doesn't have to be manually turned on or off, it can be saved/edited into the save as well. The other way that generally works for me across most titles is replacing another menu option so that it loads whatever other menu or data you want it to.
Here are some examples of datas that could be used to easily get into the menu (you may have to reverse the bytes):
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0x1ead9fb1 create_debug_menu
0x899aea38 create_debug_options_menu
0x8912b99c create_sound_options_menu
0xb427b43f launch_display_options_menu
0x05860c83 launch_sound_options_menu
0x1E54D305 create_gap_menu
0x412CC371 create_cheats_menu
Here are the links to the release I mentioned above:
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http://tnthps.us/filesystem/xbox/x_thaw_pak.rar
http://tnthps.us/filesystem/xbox/thawmega.txt - README.txt
If you wanted to mod it into your save, you would use this to 'unlock the cheat':
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0C32FE88A80D20000000000000000000000000000000FF00000800 - original
0C32FE88A80D20000000000000000000000000000000FF00000801 - modified
^That data is from my Xbox 360 tutorial, but I found that by messing with a very similar set of PS2 saves, so I assume you should be able to find it easily in the Xbox save as well, maybe even by searching for the same original data. If you do it this way, you'll have to repair the checksum as well, but the process is pretty similar across the titles, just attempt to recreate the original checksum first to make sure you're doing it right.
There are also mods for almost all the other titles on TNThps.us