http://www.jplann.com/ccp0-prodshow/32192.html
I use one of these clips. Works great. In a pinch I have no problem putting my cigar on the grass but they use so much pesticide and other chemicals on golf courses I prefer not to if I don't have to. If that makes me less of a man I guess I'll have to turn in my man card.
I usually take 4-6 cigars with me and usually smoke 1-2 a nine depending on how fast the round is moving. My weekly golf league is plagued with slow play so I have on occasion been on my third cigar at the end of nine. I'm not a particularly fast smoker. Sad I know.