The "cello on, cello off" debates is often discussed among new cigar smokers...even the cutting off of the bottom of the cellophane wrapper at the foot to 'let in moisture' to what is perceived as a impermeable plastic sleeve. But the bottom line is that the cellophane actually breathes and if the cigar are left inside of them, they will stay properly moistened and won't impart any of their flavors to the surrounding cigars in the short run. If you were aging a cigar that was bought in cellophane, I would recommend keeping them in a separate box and then left to age in your humidor.
That does NOT hold true for flavored cigars...those should always be stored separately in a plastic container or humidor away from your non-flavored cigars.
Like Kirk said, do a quick search and you will find an amazing amount of information on the subject.