Depending on the laws in the state/county, you could spend upwards of $100K for a liquor license alone. That is to say, if there is a limited number of liquor licenses in the area you are looking and they are all owned, the private market for a liquor license can be brutal.
Also remember, maintaining a walk-in humidor for a location that doesn't already have one is a lot more labor intensive than your home desktop. Your initial stock also will cost you a pretty penny, because most (if not all) retailers will not sell on credit. Don't forget to factor in the cost of updating the HVAC to be able to handle multiple cigar smokers at the same time.
Sounds like you will have to have a free-standing building, but why buy an entire restaurant with a kitchen and all the equipment in it?