I don't do cheat DAYS. Like, I would it would be too hard to reel myself back in after a full day of off plan meals--plus I would feel super guilty. I do have cheat meals though. For instance, every wednesday I have 2 slices of lower calorie pizza from a local place. On Saturdays I have a peanut butter frozen yogurt from a yogurt shop nearby. Each of these 'treats' is well within my calorie range for the day, and doesn't mean a full DAY of being off plan.
Yeah, I tried the "cheat day" (and "cheat meal") thing, and although I lost weight along with doing both, I made me feel like I was on a "diet", and "diets" are something that I "quit".
Instead, now I eat what I want, I just stick within 1200 and 2000 calories a day. The other night, I had half of a 12-inch Italian sub for dinner and a brownie for dessert. That was balanced out by the salad I had for lunch and the protein bar I had for breakfast. The next day, I had a protein bar for breakfast, the other half of that sub for lunch, and a serving and a half of Hamburger Helper for dinner. I ended at 1588 calories for the day.
Given that, I'm not going to track what I eat on Christmas DINNER or Thanksgiving DINNER (or any holidays, for that matter), and I will have a slice of pie both nights, but I will watch my portions and follow the "one plate" rule. (I can have whatever I want, but my whole dinner needs to fit on one plate... This isn't counting the pie, though. I'll let someone else cut that, and then I'll ask for the smallest slice.) Also, my family has holiday dinners at around 4:30, so we do a light "brunch". That will balance the holiday dinner out for me, anyway.
I used to go out with a girlfriend once a week grab a slice of pizza and starbucks mocca frap. Lately though I don't really have many cheat days unless I'm craving something (which usually happens when I'm near my period...) but then the next day I get right back on track. I don't have a specific day of the week which I do things. Sometimes I can go weeks without having a cheat day and then take one randomly.