I always smoke cigars on the golf course. I tend to bring large cheap ones so they last I'm not worried about wasting money on a great cigar. Regarding holders, I use this one
http://heaterholder.com/. Before that I would lay it on the seat of the cart or when around the greens/fairways, I would rest the cigar on the extra club (e.g. wedge on the putting green) lit end down, so that the mouth part of the cigar doesn't contact the grass. Golf courses use too many pesticides to be licking on the grass. Just my opinion.