Whenever anyone from US hears me say "cheeky" to (or about) my kids, they always ask what it means. When I try to explain, they suggest "mischievous", but apparently it has more negative connotation than the "cheeky" I mean (the best I can explain it is mischievous, but cute about it). When I mean it negatively I use "naughty", not "cheeky". So, is there a better definition, or am I using it wrong?
Your usage of cheeky is perfectly correct. The NOAD definition aptly captures your intended meaning:
Unfortunately, this word is not too common among American speakers. It may be that a cultural difference accounts for the fact (my conjecture) that American speakers are more likely to use adjectives (or adjectival phrases) that are more specific than cheeky to describe their children's behavior. For instance, you might hear:
As for a better alternative to cheeky, I do not think there is one, except you want to go for either of the following:
Finally, I would say that mischievous does not always have a negative connotation. It has two degrees of meaning, one which is much more negative than the other. I quote the relevant NOAD definition:
It clearly isn't a direct synonym of cheeky, but it could work very well for related behavioral descriptions. And I daresay mischievous is way more popular than cheeky in conversations among American parents.
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Another Aussie here — I use cheeky quite a lot in the following example situations.
In both those the cheeky has an upward tone and the word following is fairly flat.
Obviously in both situations the person is doing something only slightly naughty or mischevious.
I also think it could be used the same as "are you giving me lip?" in other situations where back chatting is what's occurring. I introduced the word to a friend in France who now delights in calling his 10-year old daughter a cheeky monkey, and she is the definition of it!