A few comments....
First off, if you're staying on the strip, and haven't got a car, I would plan on either bringing my own smokes or being prepared to acquire 'em on the strip. There are five Davidoff locations on the strip, Casa Fuente, and other random little shops in the casinos and the shopping areas (Forum Shops, Mandalay Place, Canal Shops, Miracle Mile, etc, 'though oddly, not in Via Bellagio).
If you decide to venture off of the strip anyway, bear in mind that getting a cab can take an hour or more. If I'm leaving the strip, I let the casino drive me there in a house car (limo) and wait for me.
As regards cigars when you're playing, you can expect Davidoff Ani #1s (or pretty much whatever you want) if you're playing at an "appropriate" level. If you're playing dollar slots, it ain't gonna happen. If you're playing hundred dollar slots in a salon or roulette in a high rollers lounge (like Palace Court at Caesars) at several hundred dollars per spin, absolutely. If your wife is playing poker, she has to work twice as hard because the casinos don't do as well (in terms of what they make). Be aware that when she wins and she's comp'd, the casinos want to comp her, not someone that she's with; they may cry foul unless she's churning a lot of money. And by "a lot of money" I mean at least $1,000 per hand for at least four hours, twice that or more if it's Omaha, Hold 'Em, or similar forms of poker. (They'll want a high ADT to not bitch about catering to her entourage.)
If you're on the strip looking for a good place to smoke and hang out, Casa Fuente in the Forum Shops at Caesars is a good choice, as is Napoleon's at Paris. The seating at Napoleon's is much more comfy than the utilitarian chairs at Casa Fuente, if that matters. People watching is the pastime at Casa Fuente; at Napoleon's there are pianos, so it's live music (sometimes good, sometimes crap). Additionally, there are little bar/lounges on or adjacent to most of the gaming floors that are okay places to hang and just watch It All. And, of course, you can smoke on the casino floor.
Where are you staying? And what dates will you be there? I'm there constantly; in June I'm at the Wynn from the 24th 'til July 1.