I believe examining the cigar is indeed not neccessary (or even possible), as the game tells you.
At our fan-site at http://www.colonelsbequest.net you will find a complete walkthrough or even just tips when you want to become Super Sleuth. Of course it will spoil the fun of examining, trying everything and eventually “win” the game yourself somewhat….
Still, our site should be able to help you getting right back on track!
Best regards, Vincent (colonelsbequest.net)