Some are having a bit of fun, so I'll make sure it's clear - the "wrapper" is actually a component of a cigar - the outer leaf/layer of a cigar that you see is called the wrapper. Within that is the binder and then the filler, which is more tobacco rolled up/bundled up.
What you refer to as the wrapper is really typically referred to as cellophane, or "cello" and is a plant-based substance that allows water vapor to pass through, but will not allow liquid water to penetrate.
I generally keep them in the cello if they had one. Reason being that over time, you'll see it turn yellow from the oils that evaporate/float around in a humidor. I'd rather the cigar basically sit in its own vapor infused cello than have those float around onto other cigars :P And I like the look of some yellow cello from well aged cigars!