This is not an Oscar Wilde quotation—it is from Voltaire.
The quotation “illusion is the first of all pleasures” has perhaps adhered to Wilde as it conforms with his penchants for decadence and superficiality. It comes, however, from Voltaire (1694-1778) the French Enlightenment writer, historian and philosopher. In the original French the expression reads:
L'illusion est le premier plaisir.
The quotation comes from a line in a version of Voltaire's satirical poem La Pucelle d’Orléans (The Maid of Orleans). The sentiment is used cynically and with bathos to culminate this observation about love:
O gift from heaven! tender love! sweet desire!
We are still happy with your image:
Illusion is the first of all pleasures.
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 in an epilogue to a version 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, the relevant canto is appended below.
Original research and translation by John Cooper.