Second the Graycliff tour. They actually have a deal where they will teach you to roll a cigar. Call ahead to schedule...its cheaper than booking it thru the cruiseline (some offer it as an excursion, some do not). Most of the liquor stores will have a selection of cuban cigars. Cuban cigars are everywhere....jewelry stores, souvenier shops, etc. Most are fakes, though some of the higher end places are licensed retailers. You can check with
http://www.habanoscaribe.com/, the licensed distributor of Habanos in the Caribbean, for retailers that they supply in the areas you are visiting. In all my Caribbean travels, I have seen only a small handful of places where I would buy CCs. If you happen to be going to St. Thomas, there are a couple good places for NCs, but for the life of me I can't remember the names.