There is a cigar club/shop near the corner of 8th and Congress. They've got a smoking lounge in the back, and the owner is a pretty cool guy named Charlie. Not sure what his policy is about outside cigars smoked in his lounge, but if you buy there, he'll probably be willing to talk you ear off while you smoke.
Also, I know the balcony of the Steven F. Austin is cigar friendly, and with a pretty nice view.