Hi Xcitedcruiser,
You may find this "Kuki" article very helpful and interesting:
http://www.cruisemates.com/articles/...uki-Basics.cfm
You will be provided with some papers to fill out and list all your purchases, depending on where you purchase the cigaretts will depend on how many you can bring back, I believe you can bring back 10 cartons from St. Thomas, other stops not as much, so do check into that, same kind of policy with alchol too. They can and sometimes do go through your luggage if they feel there is a problem, as you leave the cruiseship terminal with all your luggage you will have to go up to a customs officer with your paperwork and he'll let you pass....
Have a great first cruise, what ship and when?