If the insides of the cigar are a lot moister than the wrapper the heat will cause the cigar to swell and crack the wrapper. If there air is very dry that can cause a similar effect. Like others said some wrappers are just delicate. I have noticed in the last 6 months or so that the quality of some brands seems to be going down hill. The wrappers on the Ave Maria I have been getting are shit compared to a year ago. You could try if you notice a specific brand or wrapper doing this you could try dry boxing it a day before smoking.