Though it's not technically cheating she did make several remarks about being a swinger...more specifically during the episode "the rocky horror Peggy show" during the clothing swap mihn talks about key parties.
I'm pretty sure she didn't she has her nose a little to high to cheat on the 'hillbillies' in the neighborhood. I live in Texas and the only Hillbilly of KoH is Lucky, but to her they all are.