Shaking off the cigar ash is needed only as needed, and not after each puff. A good hand-rolled cigar can easily hold 1–3 cm of ash before it has to be shaken off.
The best way to shake off the ash from a cigar is to make two good long puffs that will heat the tip of the cigar, then wait about 3–5 seconds and gently shake off the cigar. Ideally, the ash column will “break” just at the border of the burning material, leaving a beautiful smoldering orange cone at the tip of the cigar.
If the ash does not crumble after one or two light but firm taps, then it is not ready to shake off. Shaking off the ash by force can cause the brightly smoldering part to crumble away, which can greet all sorts of problems, including the extinction of a cigar, uneven burning, lack of smoke and sharpness of taste.
Let the cigar cool down a little after shaking off the ash, since the above double-puff method heats the cigar a little more than usual.
And of course, the ash should be shaken off in a cigar ashtray, and not on others. 
