Mark,
Firstly don't buy any from the peddlers on the beach or the barmen, These are cheap but very poor quality.
There is a fully air conditioned cigar shop in the "International shopping centre" in Varadero, most hotels run a free bus here. The centre is a bit poor to be honest and the cigar shop is probably the best shop there.
You can also get them in most of the hotel shops , but storage is an issue here as they do tend to dry out a bit. Would suggest if you get them hear stick to the cigars stored and sold in aluminium tubes.
Lastly if you buy the chaps at work a nice large "Churchill" each don't forget to add the odd "now then now then " into the conversation.
J....