I brought cigars on my last cruise around the Mediterranean/Europe. What I would recommend is that, when you get there, open up your cigar caddy/whatever and let the sticks sit out for a few hours. The main thing you need to do is make sure you get most/all of the air from your climate out of the caddy and fresh local air in. This way your cigars won't get any type of climate shock or anything when you bust 'em out to smoke.
Good, inexpensive cigars I like to bring are ones like Oliva Gs, Onyx Reserves, Montesino maduros, etc. They all have great rich, dark flavors and are not full-bodied at all (which will help with the whole not puking when you're trashed thing!). I always liked to start out with a nicer one after dinner, tho, like an Opus or Anejo.
Have fun!
And maybe bring a couple nice, little CAO flavors or something in a separate bag or caddy if you have one. It's always nice when a woman compliments your cigar to be like 'I have some nice little vanilla ones for you" and then you get the woman to hang out with you for a bit.....
The one cruise I've been old enough to smoke on was a Holland America line. They had a retractable roof over the main pool/bar area and one or two nights they opened it and had a cigar night. Bought a couple drinks (I like mudslides/white russians with cigars!!!) and smoked my own cigars there. We also had no problem smoking out on the room's private patio.
TYLER