Really when it comes down to it there is no 'cheating' in this game, just difficulty settings. Think of using danger rooms, walling yourself in, using hundreds of traps, finding the most beneficial embark, starting with above normal embark points, etc, etc, etc, as playing on 'easy mode'. Think of not using danger rooms, not using traps, not using walls, not using magma, finding the most horrific and difficult embark possible, using zero embark points, etc, etc, etc, as playing on 'hard mode'. Other combinations are in the middle.
You shouldn't really look at these various things you can do (be they out and out exploits or just gameplay options that reduce the difficulty) to be things that are cheating, just things that can make the game easier on you. If that makes it more fun then go for it, if it makes it less fun then I wouldn't do it.
For example I find the idea of stealing from the merchants to be boring, it just gives me tons of stuff for no effort and (in most cases) no punishment. Other people may enjoy having a ton of free stuff without having to work for it because it drives the game faster. Still other people may enjoy concocting elaborate traps to steal from the merchants and that makes it fun for them. So in that example stealing or not stealing from the merchants is not 'cheating', but depending on your playstyle it may increase or decrease the fun, so just make the call appropriately.
Simple as that really.