It's not morally wrong, but it definitely destroys a lot of the value of the game. They generally cease to be entertaining much faster when you've already skipped to the last level and are invincible.
Voila, pretty simple.
I sometimes cheat "for the heck of it" and try out of a few things (or even discover bugs or incomplete areas otherwise locked away from the "normal" game with cheats like no clipping for instance), but not until I complete the concerned game at least once, sometimes more. I own many single-player games (or games with a single-player mode) in which I still never cheated for various reasons, such as lack of interest (after I complete it) or lack of interesting cheat codes (infinite ammunition, all weapons, invincibility, those are classics and most of the time just boring after a short period). Give me interesting cheats with which I can "discover" things or simply "observe" environments or the A.I without being shot at or attacked all the time such as invisibility or no clipping, or humorous cheats like big heads or slowing the flow/time of the game (such as in the Turok games for example) and I will try out a few things to have fun here and there.
An essential rule to me however is to never cheat until I've completed the game at least once, after that it still depends on a few things as mentioned above, other than that I have nothing "against" cheating off-line in single-player games. The thing is... why would anyone even bother mentioning that they do cheat in single-player games in the first place? I mean other than for the purpose of searching on the web for cheats that the player(s) would be unaware of, of course, because really no one has to "know" about that, it doesn't affect nor should it affect their life, doesn't ensure that their pay check will have more zeros on it and won't make the local pizzeria have the best pizzas in the world nor will it make pink elephants play volleyball... it doesn't make sense to me why anyone would go about on forums just to let others know «
hey, guys, I cheat in my games off-line, what do you think about that? » (as I said, outside of the context in which the players are actually looking for cheat codes on the Internet).
And, for me as well ultimately I think that eventually cheating in almost any games (unless the cheats are very interesting, original and funny to try out, which is quite rare especially nowadays) decreases its re-play value.