I know two guys who have the same habit, and have perfected the moves to carry it out flawlessly...Each guy can finish a cigartte, and in one fluid motion, without stopping, pull out another, light it and go. They spend most of their active hours repeating this over and over and over. I think the only time they get any actual oxygen is when they are sleeping.
I smoked for a couple years when I was 17 and smoked up until 19, and then quit. I can occassionally enjoy a cigar now and then, but not too often, as with cigars, I inhale when I smoke them, where most do not. Cant help it, its natural to do it.