From Cigar Aficionado:
Cellophane serves several purposes on a cigar -- in states that require each cigar to have a warning label, it makes this notification much easier to accomplish, and it prevents damage to the cigars from excessive handling in cigar shops. But once you've bought the cigar and are placing it in your humidor, we recommend you remove the cellophane. Cellophane will prevent humidity from reaching the cigar, and you'll find the cigars will respond to humidification better if the overwrap has been removed. The same holds true for cigar tubes, whether glass or aluminum; these tubes will completely close off a cigar to humidification if left on. However, if you intend to transport your cigars \(such as in a coat pocket\), it may be a good idea to keep a few tubes or cellophane overwraps handy to protect the cigars during transport.