Everybody (cigar guys) want to see Casa Fuente.  Gotta admit, it's nice.  But bring your American Express, because it's tourist pricing!  One drink and a cigar, about $40.00 plus tip.  Located in Caesars Palace's Forum Shops . . . actually famous for being the most successful (up-scale) shopping mall in the country (or world?).  
Pheasant is a good example of a local cigar shop and the closest to the strip.  Many of the locals would meet-up there if you like. 
Would you like to get away from the "Strip" ?  There are a few up-scale places that fit your request.  The newest is the 
Hotel California Restaurant & Lounge that is promoting a "self serve" humidor.  They are about 10 miles west of the Strip.  We are planning a recon mission this week to see . . . LMK if you want more or if you'd like to call-out the locals.