I used to be a smoker and what I previously said holds true both for cigars and pipes. Off course no one's stopping you from swallowing the smoke if you so please, but the way of smoking cigars and pipes is to inhale without swallowing. The reason for doing that is because the amount of smoke produced from one cigar is at least ten times more than from one cigarette so if you swallow it's like smoking a pack of cigarettes. Plus the flavor is much much heavier.

As for the technique it's quite easy. Inhale, keep it in your mouth for as long as you please then exhale. Swallowing is a conscious effort so you can easily avoid it. Not that this won't cause you health issues though, from mouth cancers to poorly teeth health and what not.