Once or twice on occasion, I say is forgivable. Gift or no gift, every time, I think that gets rude, and disrespectful, especially if he is a cigar smoker, and knows the cost. If he doesn't realize the cost I would try and point it out via a joke.
It's kinda like having people over for dinner, and your bud always stacks his plate, has a some bites, then chucks the rest of the food in the garbage. If you cant handle it all, then don't take as much.
I would tease him by suggesting he grab a smaller, less expensive stick, if he can't handle it, then deflect the issue by calling him a pussy, and getting him to man up.