If you're over near the airport, you might not want to go all the way into downtown just for a cigar.
Here's what Google turns up, which is showing me a couple shops I plan on checking out one day:
Cigar shops near CVG
I personally stop by (F) Straus Tobacconist every couple weeks on my regular trips to Lexington. It has a decent selection, friendly staff, and an area to sit and smoke your purchase.
If you go downtown, there is a very nice shop that you should check out:
Cinti Tobacconist
617 Vine St
Cincinnati, OH 45202
(513) 621-9932
To be honest, don't come here looking for any steals...they aren't easy to find. The B&M I frequent most is an exotic grocery store..they have a nice humi that doesn't mark up ANYTHING....I got a box of Anejo 55's for $7 a stick just a few months ago. But that place is wayyy across town for you.
Fortunately, if you're just looking for a place to smoke a cigar, you're in luck. Cincinnati is quite cigar friendly. Very few of the nicer bars have any restriction as far as smoking, and dirty looks are few and far between.
Good luck, and enjoy the Queen City!