What should I do if a student cheats from me during an exam; should I inform the teacher or invigilator, or is that an injustice to him?

If you see someone cheating, stop them. If they do not stop, threaten to inform the teacher or supervisor. If they still do not stop, then report them, because this falls under cooperating in righteousness and piety. However, if reporting them would lead to harm, due to an excessive punishment, then do not inform the officials and suffice with offering advice.