I used a drill press and belt sander.
You'll want to start with a block of wood that, at its widest point, can fit a cigarette of the size of your choosing. You'll want to mark out the shape you want to start with.
Drill the hole for the cigarette - if your shape comes to a point like mine, you'll want to hold it up to the drill bit to determine the lowest point at which the bit won't puncture the walls.
I then took it to the belt sander to get the general diamond shape, then guesstimated angles at which to sand along each of the centerlines. I'd definitely recommend experimenting here - if you try too hard to make something you've planned beforehand, you may lose out on what the shape could become (in this case, I was initially trying to make a perfect diamond, but ended up with something much more interesting).
A friend has suggested that this become an actual cigarette holder, in the sense that one could smoke the cigarette in it. That is certainly plausible - if you wanted the cigarette to remain concealed in the wood, I would recommend researching the best way to avoid burning the wood (and make sure it's not a carcinogenic species!). As I don't actually smoke cigarettes (I made this for a friend), I won't be exploring this option, but I wish you the best if luck should you choose to do so!
Thanks for reading, and take care.