Tsk, save states are cheating as long as you use it to progress through a game (doesn't include those doing research and stuff like that). If it was possible back then, it would've been included in trainers and such.
People only say it's not cheating because for some reason they need to defend their actions. So here's a tip: it's alright to cheat. It's cheating in multiplayer that gives you an advantage that's a no-no.
Some cheating is okay, some is not. What you consider okay and not is up to yourself.