Actually its not that easy to get a good cigar in Vegas. All the casinos have cigar girls but the selection is small and the product may not be that fresh.
This location carries the whole Davidoff line from cigarette-sized to huge robber baron stogies. I picked up a pack of some medium sized (Ambassadrice) cigars. There is also a good selection of non Davidoff cigars.
Well when I was ready to smoke my cigar in a casino I asked a security guard if it was allright to smoke. Yep, its OK. Then to make sure I asked again if cigars are OK. Yep, they are. Living in Chicago its hard to comprehend there are places in the world where you can smoke in an establishment.