A I'm not the most indulgent parent, but even I think it's all right to let your child win a round of Candy Land or Go Fish every now and then. Certain forms of cheating (which you could term "creative play") might also be allowed if your child isn't sneaky about it. Look at it this way: Golfers have their handicaps. Why shouldn't a child sometimes be given an advantage to level the playing field? Granted judiciously, an assisted win will not turn him into a sore-losing brat. Siblings, cousins, and friends will be there to see to it that he plays by the rules soon enough.
But I wouldn't beat around the bush. Offer gaming advantages in an up-front manner instead of pretending you're not helping him. Explain, for instance, that he'll be given beginner's help in the form of extra rolls of the die or turns picking cards when he needs it, such as when you're way ahead. As soon as he does feel competent playing games (which for most kids isn't until they're 7 or 8), he'll prefer to win, and even lose, on his own. You might also consider setting up parent-child teams to play each other so the youngest family members can learn from the older ones.
Sometimes, though, kids sneaky¿ -- cheat to win, especially as they get older and more competitive. I think you have to deal with this just as you'd deal with lying¿ -- with zero tolerance. But mostly when little kids "cheat," they're not really cheating, they're just not following the rules because they're boring. What's fun about playing a game is moving the little plastic man around the board until you land on your favorite color.
In fact, the rules make it all less fun for most kids ages 3 to 5. They invent and change the rules to their own games all the time. Why should they now have to play exactly as the mysterious words on the box say?
"Oh, so we're going to play Crazy Candy Land," says a dad I know when his child removes all of the "bad" cards from the deck so that no one will be sent back to hang with Plumpy after finally reaching Queen Frostine's realm. Games can teach your child strategy, patience, perseverance, and other good things, but mainly they're supposed to be fun.