Yes! You're cheating yourself!
Life is short! You have to go after what you want.
If the person you want does not want you then you really have to let go of the romantic fantasy and accept it's OVER.
An ex is an ex for a reason! (And it's usually a good reason)
You're also cheating the person you are with out of being with someone who actually loves them!
No one wants to be the "rebound" guy or girl, the person their mate has "settled" for. The person you would drop in a heartbeat if your ex came back into the picture. Sounds like you jumped into another relationship before you were ready.
It's always best to either purge your feeliings for your ex or get to a place where you accept the past is dead and gone, and you are ready to move forward offering (your whole self) to a new person. To do otherwise is to cheat yourself and your new mate.