Allow me to share my technique.
The only good room in my house to smoke is my bathroom. It is, like most bathrooms, just tile and wood,so the smell of smoke doesn't "stick" to anything for very long.
I start off by removing my clothes hamper, and all the bathmats. The door is closed and a towel is placed that goes along the bottom of the door to help keep the smoke from getting to the rest of the house. I then take a standard oscilating fan and have it blow out the bathroom window, while also having a space heater going to keep things warm.
I know what you're thinking... that I would be essentially just blowing all of that hot air outside, but I have been in there for 2 hours at a time and the temperature remains constant at around 70 degrees. Plus, the stogie smoke is blown either right out the window, or through the ceiling fan!
Too bad I'm not home right now, as the picture of this truly is worth 1,000 words...