Alex, if you go with any glue that sets really hard such as 2 part epoxy or superglue, you will run the risk of breaking your cigar, or the figure if it's bumped. (And because it sticks out this is always a danger!)
In a similar situation to yours, I used a small drop of clear silicon sealant....the type used in bathrooms.
It's virtually invisible, holds permanently, (but is also removable should you ever wish), and is flexible enough to take the odd bump without letting go or damaging the cigar or your figure.
See my customised "BARON SAMEDI" voodoo tequila decanter below with cigar.
The decanter is made of hard ceramic so drilling and pinning the cigar on wasn't really an option.
The cigar takes a lot of knocks as the night wears on......
but has stayed steady through it all! (Which is more than can be said for its owner I hasten to add!)
For those interested the cigar is made from a long isosceles triangle of brown wrapping paper, glued and rolled up from the base so that it's thicker in the middle, and includes a small piece of crumpled red foil lolly wrapper for the glow.