It's like my third time beating the game, first time on PC after awesome GOG promotion and I wanted to mess around with cheats early in the game but they arent working. Is this version, as well as Steam one, doesnt have the cheats or I;m doing something wrong?

They worked for me, I hate the pointless grind that is arrowheads. Ugh.

Anyway, what are you doing when you enter them?

"During the game, hold down "Left Shift" and press "Right Click" (mouse) to activate cheat mode, then input the following codes to enable the cheats function. "

My mistake was I read that and though I only had to hold shift and press the right mouse button then let go and enter the cheat.

You have to keep holding down both of them. Pretty sure at least, MIGHT be only shift. Try both, one will work.