The initial harshness almost sounds like a lighting problem from my limited experience... You may try reading a bit about how to light a cigar; I know it took me quite a number of tries before my first puff wasn't harsh.

Personal question about lighting (seems pertinent to the thread) When I was reading about lighting some people said that it was okay to have one exhale before you start smoking; but they were very adamant that there should only ever be one exhale unless you're purging the cigar. Why is this?

Also, is there a particular way to hold the cigar when purging? I know that you exhale through the cigar until the flame gets back to a nice yellow/blue mix, but how close should the flame be?

I would also recommend an Oliva Serie G Figurado to try something from Oliva; I've heard they're great for newer smokers, and you can really taste the difference as the cigar burns, and they only run about 5$ for a single from a B&M.