This is not an Oscar Wilde quotation - it is from Voltaire.
The quotation “illusion is the first of all pleasures” is from Voltaire (1694-1778) the French Enlightenment writer, historian and philosopher. In the original French the line reads:
L'illusion est le premier plaisir.
The line is from a version of his satirical poem La Pucelle d’Orléans (The Maid of Orleans). The poem was first published in 1755 but the line does not appear in that version, nor in the one authorized by M. de Voltaire in 1762. It turns up in a 1756 edition that contains changes to many cantos that were probably made by the publisher from incomplete Voltaire manuscripts, perhaps to make the edition more profitable. As this version is difficult to find, I append the relevant canto below which was added as an epilogue.
Original research by John Cooper