You do have to match the cigar with the liquor. It doesn't always work out too well. But I've had good results with Teamo and 15 year old Scotch. A little goes a long way. My approach was simple and crude but it gets the job done.
Take a large dinner plate and pour about 2/3 tsp. of Scotch on the plate. Then spin the cigar around in the liquid so that the entire wrapper is wet. Need I mention that this will tend to damage the wrapper a bit? Then comes the clever part, which is kind of a "shotgun marriage" of flavors. Put the damp stick in an aluminum tube and close it up. These tubes are not airtight so the excess moisture and alcohol will evaporate in a few days. The result is a somewhat rustic looking smoke with some added flavor.
I have also tried using cognac and armagnac without much success to speak of but nothing was ever really bad.