Got this from a great book.
From: "The Complete Idiot's guide to Cigars" by Tad GageQuote:
You can easily create your own cognac-flavored cigar. Take a few mild smokes and toss them in a tight-sealing plastic container large enough to hold the cigars and a shotglass filled with brandy, cognac, or Calvados. Snap on the lid and leave in a dark place for a few weeks or until the brandy evaporates. your smokes will acquire a subtle, "spirited" flavor!.