Magic stores or suppliers sell very realistic-looking fake cigars made of wood. They aren't cheap, but are worth the investment.

To make a fake cigar look "lit up" without actually igniting it, you can use two colors of Glitter Glue (available at crafts stores or art supplies).

Drop a generous dollop of Red Glitter Glue onto a paper plate and add another dollop of Gold Glitter Glue on top of that.

Dip the end of the fake cigar into this concoction and gently swirl it around -- being careful not to mix the colors entirely, but merely allowing them to swirl about on the end (like a chocolate-vanilla twist ice-cream cone.)

Allow to dry. Under stage lights, the cigar will appear lit.

I just stumbled upon this source - NORCOSTCO.  They are really inexpensive, too.