I'm pretty sur that in the UK, recording a conversation is legal as long as at least ONE party to the conversation is aware of it. So, yes, it will be legal.
But, you might be better off simply telling them that you are recording, and explaining why. That way you go some way to ensuring that they report it accurately without the need for using the recording later in evidence. (I appreciate that you want to catch them cheating and demonstrate it, but being pragmatic about it, you will be better off if you simply ensure that they don't cheat.)