Is this a possible reference to Tim Ferriss? He's the first name I thought of when you mentioned cheat days, due to his Slow Carb diet which incorporates a "eat-whatever-you-want" day within the framework.
I agree with a lot of the above posters - the word "cheat" implies a feeling of guilt about eating a food that's not strictly primal/paleo. If you want to eat a cookie, or a chocolate, or some ice cream, or whatever, eat it. Understand the consequences, and if you don't LIKE the consequences, then avoid it next time. But, if you can enjoy a non-primal/paleo food, and still sleep well, and have tons of energy, then indulge every now and then.