I smoke Cuban cigars while I am cruising, along with many others, the only thing you need to remember is that while you will probably never have any problems, the revisions to the Cuban embargo specify that smoking a Cuban cigar anywhere in the world by a U.S. citizen is a violation of the embargo, even the open seas. While this seems stupid and preposterous to an avid cigar smoker, it is the U.S. governments position.
Personally I will continue to smoke Cubans, Dominicans and Hondurans anytime I want. By the way, if you are a regular Cuban smoker, than you probably already know that data from the U.S. customs dept states that on average, over 90% of the Cuban cigars in Mexico are fake, as are 60% of those sold in Canadian smoke shops.
I had the pleasure of visiting a Smoke shop in Victoria B.C. 2 years ago while on an Alaskan cruise and spotted some terrible fakes that were being sold as singles from authentic boxes. The shop was not an authorized HABANOS SA dealer, so I wasn't surprised. The small cigar store was there primarily to sell over priced fakes to tourists.