I always -- ALWAYS -- buy something when I even walk into a cigar shop. There are three main reasons: (a) it helps support B&M shops, (b) it lets the owner know I am serious and what sort of cigars I'm interested in, and (c) it just strikes me as the right thing to do. If I plan to use the lounge I always ask the first time whether I can smoke my own cigar assuming I pay for another there. So far everyone has been happy to oblige. Usually I buy 2 or 3, so I feel I've more than payed for my stay.

I don't like smoking the cigars bought at the shop because, and @Horseshoe will vouch for this, if there is only one bad cigar (draw, construction, tar, etc.) in that lounge, I will pick it. Atleast if I bring my own I can check the draw first and know it's at the right conditions for smoking.