Whether you pull it from the pack with your fingers or your mouth, you'll eventually be holding the cigarette. This is an entirely personal choice with no rules, but these are some common ways of smoking - so how do you hold yours? :-)
Classic. Hold the cigarette between the index and middle finger, between the first and second knuckle, palm facing downward.
Sophisticated. Same as the Classic, but with palm facing you and fingers pointing upward.
Casual. Cigarette is set behind the second knuckle of the middle finger, and secured by wrapping the index finger around it. The hand is in a relaxed, closed position, with palm towards you or facing downward.
Euro I. The cigarette is held between the thumb and forefinger, palm out, cigarette pointing outward.
Euro II. The cigarette is held between thumb and forefinger, palm facing in and slightly up, with filter end pointing directly at you. This is how they always spotted the Nazi spy in the movies. (Or by not holding it this way, how they found the American spies).
Palmed. Cigarette is pinched between thumb and forefinger, but palm is facing in, and cigarette is secreted in hand, pointing towards inner wrist. Useful when you don't want it to be obvious that you're smoking.
Feminine. Cigarette is held between the first and second knuckles of the index and middle fingers. Hand is relaxed and bent backwards, with palm facing up