I was just in Cozumel last week. There are a few habanos dealers if you take a cab into town. There is also a place called the havana club, they are very deep in town, almost at the end on the second floor. I believe you walk through a Diamond international store to get to the stairs for the store. The prices at habanos are going to be better then the ones at the havana club, but the selection will be much better at the havana club. Another note, havana club only accept cold hard cash, but the place is very nice. They have live jazz their and the humidor is the largest I've seen in the Caribbean.
Hope it Helps!