Vegas on a budget would be Fremont Street. There is a small place called Chicago Brewing Company and Cigar Lounge located in the Four Queens Casino. Not a big selection but a place to sit, have a drink and a cigar. You may want to bring one of your own sticks. I buy one of their cigars and smoke my own.
There a couple of great cigar bars on the strip. Not cheap but worth a look.
Caesars has two. The Montecristo Cigar Bar located in Caesars Palace and Casa Fuenta located in the Forum Shops at Caesars.
Resorts World just opened a cigar bar called " Eight Lounge". Not cheap but a must see.
Yes, I go to Vegas a lot.
Hope this helps.