I don't actually cheat as such, but I set aside a day every 2-3 weeks when I eat non-diet food. So 2 weeks ago I had a hamburger for lunch (mmmmmm......) and a curry for dinner.
I still work out on this day and it is a nice thing to look forward to.
I usually do a cheat day once I get going on my diet. Generally 2-3 weeks, I feel once the metabolism gets going, the body can't really store that much fat in one day.