You guys need to come visit Canada in the winter.

I'm in Toronto, which isn't a very cold city, and it dipped down to -12C (aka 10 degrees Fahrenheit) with the wind last night. Not fun to smoke in!
I've caved and I'm smoking indoors now. I personally don't like the cigar smell that's left in the room afterwards. So I open up a window, setup shop near that window, and face a small fan near me to ensure that the smoke floats outside. The room still smells of smoke afterwards, but it doesn't last until the next day. I'd go for no smoking in the winter, but reading / listening to a book just isn't the same without a good smoke.