There is etiquette for every indulgence. To TRUELY understand etiquette it is important to do the wrong thing as often as possible until an aficionado grows tired of you and corrects your incorrect behavior.
I smoked a lot of cigars on the trip. I thought the cigar brand belts were awesome. They were super ornate and should be turned into beautiful gold jewelery. So, I kept the belts on while I smoked the cigar. This is a faux pas. In the cigar smoker's world its considered rude to keep that brand on your cigar, you're supposed to take it off after the cigar has been lit.
This is a great site where you can learn how to be a jerk the right way.