"Cheat Days" are an interesting topic among the weight loss community, and the feelings on them are varied and go from one extreme to another. I'm not so naive as to think that the way I do things is the only way or the best way, but it's what works for me.
So, do I cheat? Yes.
One way I cheat, is I allow myself a very small (less than 75 calorie) serving of something sweet. Every. Single. Day. Why? Because I have a HUGE sweet tooth. Most nights after dinner I absolutely crave something sweet. If I don't allow myself a small amount of sweet on a regular basis, then it's inevitable that I will eventually break and I will binge on something ridiculous, and it will be UGLY. So instead, each day I have a starburst, or a Dove Chocolate, or any other "small bite" candy we have hidden in the house (because remember, I have to have those hidden away so I won't binge).
The other way I cheat is I allow myself to eat one guilt-free meal a week. Translation: One meal a week I absolutely don't consider calories. Now, I do set a few limitations with this. For example, if I eat pizza, I have 1 large or 2 small slices and then I have some veggies or a salad to fill me up. Or I'll drink a full glass of water before eating to help facilitate potion control. I also offset a little from days that I have my cheat meal by getting in some extra activity or a second workout. It typically doesn't offset ALL the additional calories, but it does help.
I have dieted off and on for 10 years of my life, and this time I don't want to "diet" but find ways to change my lifestyle. There is no way that I will be able to for the rest of my life never eat pizza or Zaxby's again. So the best way for me to make this permanent is treat it the way I would long term. What it boils down to is an 80/20 rule. Eighty percent of the time, I eat healthy choices, whole foods, etc. And twenty percent of the time, I splurge. And that's what is working for me right now.
Now for the disclaimer (you had to know there was going to be one). This is the way that I am able to most successfully lose weight to date. It is what is working for me. There are those people who literally can't have a little of something or a cheat meal, because it's a gateway to bad decisions...they just can't quit. What makes weight loss so difficult, is you have to search to find what works best for you, because what works for me, or the masses, may not work for you. It's a trial and error process, and what makes that difficult is you can't give up during the errors. You have to accept failure as part of the process and learn from it to determine what your program should look like. In a phrase, just because cheating like this works for me, doesn't mean it will work for you. And now we know why the opinions vary widely on this subject.
The most important thing I can say about cheating, and anything having to do with weight loss, is it's extremely personal. You have to work to personalize a program that works for you. Be willing to try different things, and be willing to fail; because in the end, you will win with a program that helps you reach all of your goals.