Messilat Yesharim 12:46:
Truth is one of the pillars upon which the world stands (Pirkei Avot
1:18). Speaking falsehood, then, is comparable to removing the
foundation of the world; and, conversely, if one is heedful of the
truth it is as if he maintains the world's foundation. Our Sages of
blessed memory told us (Sanhedrin 97a) of a community which was
watchful of truth and in which the Angel of Death was powerless; but
because the wife of a certain teacher altered her language, even
though her intentions were good, the Angel of Death was loosed upon
it. After she had been driven away because of this, the old serenity
returned. There is no need to dwell further upon this because it is
dictated by intelligence and borne out by reason.
Cheating is a form of lying. Thus, you can easily relate this to the principle stated above.
If parents cheat while playing board games with their children, this principle is destructive, sometimes beyond repair! Children think the "world" of their parents. So, if the above principle states that falsehood is like destroying the world, if you cheat in front of your own children, it's as if you destroyed their world and their relationship with you!
In terms of practicality with the board games, I would discourage cheating even if the intention is to help your child win the game and make him / her happy. First of all, since children mimic their parents, you teach tem that cheating is permissible, and they may learn to cheat when they play with their friends. Secondly, it sends a wrong perception of life that you always have to win! Reality of life is that you need to learn how to lose and deal with it properly.
Note that I stated that you should not cheat to let your child win. That's different from following the rules but playing poorly so that your child can win. That's not cheating, but, even that sends the wrong message.