I never do it, unless it's unique circumstances where not taking a huge chunk of cheesecake would be impolite. Some people have a cheat day every weekend and I don't think there's much harm in it from what I've seen with other people at least.
They don't really appeal to me I have to say, I don't know if it's just a personal thing or whether it's something that's become ingrained through habit, but I never get that temptation to eat sugar or grease loaded stuff anymore. Not since I started sticking to a fixed diet.
It's strange, I look forward more to my daily meals now than I ever did when I'd eat a wider range of stuff, and stuff that was notionally 'tastier', pizzas, fried food, etc. I think there's a lot to be said for routine and habit when it comes to diet.
That said, if cheat days work for you then have at. For a lot of people it's a great psychological reward that motivates them during the rest of the week.