One thing I hear a lot from other cigar smokers and read in various places is that you are only supposed to smoke the first two thirds of a cigar. As I said, the point of a cigar is purely decadent: i.e., you are supposed to enjoy it. Personally, I've found most cigars tend to get too strong for me after the first two thirds, but that does not make it a rule. If you light a cigar, and after a couple of puffs you find yourself not enjoying it, put it out. If you are two thirds of the way through a cigar and you are still enjoying it, by all means, continue to smoke it until you are not enjoying it or are burning your fingers and lips. (Unless, of course, you like burning your fingers and lips - who am I to judge?)
I recently read an article on cigar-smoking ettiquette. It included some painfully obvious pointers such as "don't blow the smoke in someone's face," etc. One thing I found interesting was that it mentioned how to hold a cigar, and that how you hold a cigar says something about the kind of person you are. What a load of crap! I keep saying this: you are supposed to enjoy a cigar! This isn't work folks -- it's pleasure. If holding the cigar between your toes helps you enjoy it, may your life be blessed with an absence of athlete's foot. You shouldn't have to concentrate on such things while smoking a cigar. Put on your favorite music, read a good book, anything but worry about how you're holding the cigar!
