I didn't do any cheat days during the year that I was losing, though I did have a few planned treats for Thanksgiving, Christmas, and a special occasion or two. Why? First was momentum - I was
finally losing and didn't want to do anything to stall my progress; second, the aforementioned Binge Monster was sleeping and I was afraid to wake him; third, I wanted to forget what certain foods taste like (the longer I go without eating something, the less I crave it

).
Now that I'm maintaining, I still haven't done a whole cheat day, though I do plan in special occasions when I'll eat what I want for one meal. Then I'm right back on track that same day. And I always make sure to get to the gym on those days. I can't imagine taking a whole day off from careful eating - I don't know if that's good or bad, but it's what works for me.
Honestly, I don't usually feel very good about cheat meals, either physically or mentally. The 'treats' rarely taste as good as I imagined. And like Mel said, my body doesn't react to well to sugary, salty, fatty foods any more so I usually end up zonking out in a carb coma. Mentally - I hate seeing the scale go up the next day (which it inevitably will), plus sometimes I have a tough time getting back on track. For me, the longer I stay on plan, the easier it is. So planned cheats are still fairly far between - maybe once every two months or so?
But that's just me - a lot of people do better with weekly free days or planned cheat meals. It's all about knowing yourself and what works for you.
