You use it to get out of a cave
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dig
You can find the TM Dig at Celadon City Department Store for 2000P.
As far as i know you cant dig on Pokemon soul silver or heart gold. Although if u want some of the items you can buy them at the pokeathothon (sorry for my spelling) ALSO you can buy rare candies for about 2000 points! (i think)
select a Pokemon who knows dig.
Use an escape rope or dig. If you don't have an escape rope or the TM dig use your pokewalker. Go on rugged road, use the dowsing (3watts) and find an escape rope. After you receive gift it will be in your bag.