I've run into two schools of thought on this issue.

Either letting it burn out on its own or cutting it below the ash where you don't feel any heat.

Personally I let it go out on its own, carefully tap off the ash and put it in a zip lock with a small piece of cedar I have. I've been told not to put it back in your humidor as it will alter the smell and taste of the cigars in there. When I come back to it, I carefully blow into it to clear out the ash that may be trapped in it which would affect the draw. Light as normal.