Wife and I saw him in Dallas back in Sept and he had an entirely new act with new material, 90 per cent of which is not family friendly. It was still funny, however.
Not sure what he was smoking, but I would guess it was a churchill and that he uses it to time the act since he had to keep it lit.
He mentioned that he was often asked what kind of scotch he drank on stage, and only offered that it was the kind that people drank if they wanted to die penniless. I would surmise the same argument held for his cigar choice.
-D