No. My philosophy has always been, if you want to play less of the game, why are you even playing it to begin with? :) So I just don't use them.
Not everyone games the same way. For many people, cheats add to the experience, they don't detract from it.
Needless to say, SMB isn't most games. It's the type of game you play again and again. And it does not natively include any game save or password system. The warp zones transform it from an hours-long marathon to something you can play through during an episode of your least-favorite Saturday cartoon.