Here's the deal on Cuban cigars: You can buy them. You can smoke them. But if you are in possession of them within the US states or territories, they will be confiscated. Puff away before you get out of International waters!
Being British Cigar smokers we don't have this problem
This is a suggestion I and a few British travellers gave some American cigar smokers
Buy your Cuban cigars from a shop that rolls their own i.e. in anywhere but Cuba this is
then give the store owner/assistant a big tip if they will let you have some local cigar bands that will fit your Cuban cigars
Change the bands over and take your "local" cigars home then change the bands back over
if you want to pose to your friends or just keep it secret and enjoy them without hangers on wanting a Cuban cigar from you
Yes, you can buy cuban cigars in the bahamas, they are not a good value because so many tourists want them and will pay for them and the locals make an extreme profit. If you want a good cuban cigar, do your research on the ship and get the address of a good tobacco shop with a humidor section, and purchase quality.
Do not expect them to roll one for you. Loose leaf is not sold outside of cuba, only whole cigars are exported.
Local leaf is usually great though, so do not deprive yourself of a good smoke.
You can not bring Cuban cigars legally into the USA.
Nanatravel, you can purchase great D.R. cigars here, there, everywhere, just be sure they are not stale. D.R. cigars are allowed into the USA.