When someone consistently wins and is known to not be skillful at a game, they are suspect. If they admit to it, they are kicked out of the round, maybe the game. It is usually light-hearted though.
Obviously cheating is a serious issue and not something to be taken lightly. If someone is clearly being deceitful and secretive and not heeding all your rules then they're cheating. If they're not going to play by the rules they don't deserve to play at all! Kick them out!