Proper way to smoke a cigarette?

Will actually has it right. The membranes in the air sacs of your lungs are the most permeable and sensitive to nicotine, therefore, inhale. Not inhaling will not produce the same effect, or it will be a delayed effect. Smoking cigars or pipe, don't inhale AS MUCH. It's damn hard not to inhale a bit of a good cigar...it's partly to do with the kick, and partly with the flavour, body and aroma of a good cigar. Cigarettes are gross, so inhale...cause it's all about the high.

P.S.
I should note, people who say not to inhale are the ones who are trying to play it safe. In the end, their rates of mouth cancer aren't any lower, so you might as well go all the way and enjoy your smoke. That's about as bad as a guy who waters down his drinks, but drinks about the same amount as a normal person, and then says he's doing the smart thing.

Jam it back in, in the dark.