Welcome to the boards.

I'd first figure out if it was a UE (user error). Visit your local tobacconist (preferably one with a lounge you can smoke in), and fire one up. Does the cigar continue to go out then? If so, it's you. Take more frequent puffs. Once you've tried a few sticks, you'll quickly learn how different sticks (usually) draw, and that will indicate to you how to smoke them. In my experience, smokes with looser draws allow you to take breaks between puffs - cigars with tighter draws, you have to puff more often to keep them burning right.

If this isn't the problem, and you aren't quite ready to dive into the expense of a humidor, just get a small cooler (there's an explanation how to set a cooler up as a humidor here on the boards). You don't have to get a large chest freezer cooler, just something that's air-tight. Go ahead and spend the $15-$20 on some beads from Heartfelt. You can always reuse those on down the road should you decide you'd rather have a humidor than a coolerdor. As for the humidity level you keep your sticks at, they can be anywhere from 62-75% humidity. It's your own personal preference, and one you'll just have to learn by experience.

Other tips others have shared with me: when smoking, and you notice your cigar is burning unevenly, turn it so that unburned side is up - this could help even the burn out a bit. You may be tempted to just burn that end with your lighter, but I strongly discourage that practice. Cigars with narrower ring gauges need to be smoked slower than big fat cigars. Be patient. This takes time. Enjoy.