Illegal in a misdemeanor/felony kind of way? No, not really. While cheaters do ruin the fun and enjoyment of games that's not tantamount to violence, larceny, or greater scope crime. There are typically systems in place to handle such individuals in any case - and if the developer of the game doesn't take an active hand in fixing the situation I would pursue a refund of money spent well before I would press charges of any kind against the cheaters themselves.