This should have caught on — Watson P. Aull’s “cigarette ring,” patented in 1938, clamps a cigarette in a ring worn on the left forefinger, so that the smoker has full use of her hands.
Here’s a related stunt from R.M. Abraham’s Diversions & Pastimes (1933):
“A cigarette may be lit quite easily by holding it 4 or 5 inches above the flame of the match.”
I haven’t tried it.