There are several cigar stores within a 10 minute walk of the tender area in St Martin; all have a wonderfull selection of fresh Cubans. I recall paying bewteen $8 to $15, depending on size. This is one of the great aspects of visiting these ports and sailing, enjoy.
I was on the Carnival Pride in May 2004. The cruise director said the fine for bringing a Cuban cigar into the United States is $1,000 ... per cigar! He said Canada does have a trade agreement with Cuba, so you can bring Cuban cigars into Canada. However, our ship (and likely yours) is going to dock in the United States. Our cruise director suggested a smoke off on the last night of the cruise. So, unless you can get the ship to make a side trip to Canada prior to docking in the United States, I suggest you don't carry the cigars with you on your return.