I did a bit of research on this and this is certainly a tricky one.
I've seen (and tried, thanks to an eager salesman) smokeless cigars. They are battery powered and use cartridges. They smell exactly like a real cigar, however they're made from tobacco extract that does not contain the toxins of a normal cigar. Up close though it's fairly obvious that it's not a real cigar thanks to the non-lit tip.
Smokeless Cigar linkThe smoke from this is actually a lot less aggressive on the smoker so it would be ideal for an actor.
As far as herbal cigars, I feel really sorry for the person who'd have to smoke those... I smoke cigars occasionally and I cringe at the thought of smoking an herbal cigar, I think it would be incredibly harsh on the person's mouth, throat and lungs.
As for hand-rolling cigars, cigars are rolled with a large tobacco leaf. Not sure if you'd be able to find any rolling paper, but it'd likely wind up looking like a giant joint reminiscent of a Cheech & Chong movie.