You can say “si-kah-da” or “si-kay-da”. Either pronunciation is correct. The pronunciation changes depending on your regional accent.
Around New York and New Jersey folks pronounce it “si-kah-da”. William T. Davis pronounced it “si-kah-da”. Davis was a naturalist and entomologist located in Staten Island, NY, active in the late 1800′s and early 1900′s. Davis collected the largest collection of cicadas in the United States. The collection is currently housed at the Staten Island Museum. Davis described over 100 cicadas in his career — he should know what he’s saying. :)