"Deceive" means to deliberately mislead someone. "Cheat" indicates the cheater also gains something from the deception (eg. money, advantage).

cheat = to behave in a dishonest way in order to get what you want deceive = to persuade someone that something false is the truth; to keep the truth hidden from someone for your own advantage; to trick

I use them almost synonymously.. I dont think there is a difference. Deceive is a bit more formal, thats it.

deceive is to lie. cheat is a type of deception where a gain is made.