From cigar aficionado:
"Go ahead and remove that cellophane.
Cellophane is a moisture barrier. It keeps humidity out as well as sealing it in, but not perfectly. Its primary purpose is to protect the fragile wrapper of the cigar when you buy it. The cellophane should be removed to let the cigars maintain their proper humidity and to allow them to age properly.
This "cello on, cello off" conundrum is our most popular question by far, and we don't expect that to change.
So is there ever a time to leave cigars in cellophane? Sure. If you like to take cigars with you for a night of dinner and drinks, and you don't own a cigar case, keep at least a few in cellophane and choose those when you head out. The cellophane will give the cigars an extra layer of protection in your jacket pocket. Note that the cigars will dry out, even in cellophane, after a day or so outside a humidor."
http://www.cigaraficionado.com/webfeatures/show/id/Remove-the-Cellophane-17719
Man!! I'm gonna be busy in the humidor tonight!
;-)