1) Steroids are medications designed to build up tissue to allow people to recover from injuries. Under appropriate controls, there's nothing wrong with them. If you are getting them from Jose Canseco sticking a needle in your butt, that's the problem.
2) They aren't banned to protect the record book, the pennant race or the Hall of Fame. They are banned to protect players from the side-effects of over-use.
3) Baseball was slow to respond to the problem and various substances were banned at various times: some players achievements may have come when they used something that was legal at the time.
4) The impact of steroids is probably over-stated: per the Mitchell report, there are many who used them who didn't become stars, break records, etc. other factors include new ballparks that favor hitters and the owners juicing the ball in anticipation of the strike to try to generate enthusiasm for the sport despite the strike. Prior to 1994, 11 players had hit 50 home runs in a season a total of 18 times and just three since Roger Maris broke Ruth's record. At the time of the 1994 strike 8 players were hitting homers at a pace that would have produced 50 over 162 games. The owners have let steroid take the 'blame' for the offensive explosion to avoid admitting they knew the strike was coming because they forced it.
5) Taking steroids when banned is 'cheating' in the sense that it's breaking the rules to gain a competitive advantage but it's not the same as Joe Jackson taking a bribe to use or even Pete Rose consorting with gamblers but not betting against his own team, which involve a direct conflict of interest or a potential one: the player is trying to win.
6) Baseball has chosen to deal with steroids through testing and suspensions for players who test positive. They have not chosen to remove their achievements form the record book or to put asterisks next to them. A Hall of Fame vote should be based on what baseball allows into its record book.
7) We know that Gaylord Perry and Whitey Ford did illegal things to the baseball to succeed and that players used to take "greenies" to give them an extra burst of energy before games. There other examples of players in the Hall of Fame taking some strange things to enhance their performance:
en.wikipedia.org
I say vote players into the Hall of Fame if they have clear Hall of Fame numbers but if they admitted to using banned substances or if it's been proven that they did, put that on their plaques.