There is no right or wrong. Do what you want, cigar smoking is a very personal experience. The old way, or even in Europe they consider it rude to hold a cigar like a cigarette and will say the proper way to hold a cigar is between your thumb, index and middle finger. I don't know why they feel that way, but it is an old way of Etiquette. I personally like the way that feels, as opposed to holding it like a cigarette. But that's just me.
