First, do you have Phantom Wings' code? If not you can google it (just put in "Phantom pwnt Dantarian" it's somewhere in that topic. Somewhere in that post he also has a download for the full codeset and and the rel files, get that and put the rel files in a folder in pf named "module". After that you'll need to do one of two things depending on the stage you're trying to put in:
a) If the stage is based on Online Practice Stage/Wi-Fi Waiting Room you can just change it's name to STGCUSTOM#.PAC and put it in the pf/stages folder (the # something 1-9)
b) If the stage IS NOT based on Online Practice Stage, you'll need to get a hex editor (there's one in the resources section of the Vault on this forum) from there, get a rel for the stage that the stage you downloaded is meant to go over (you can get those in the Vault also), open it with the hex editor then follow the guide here:
http://ssbbcustom.wikia.com/wiki/Module_files