I have read that small cigars and papelitos are period accurate from several online sources as well as the book Smoke: A Global History of Smoking by Sander L. Gilman. I have also spoken at length with several knowledgable tobacconists on the subject.
The general consencus is that Men prefered to use pipes. There is a TON of archiological and written evedince to back smoking of pipes. As for Cigars, there was a law in both Philidelphia and Massachusetts in 1683 banning them, and a general law banned smoking in all forms outdoors in Plymouth Colony as early as 1632.
The first industrial manufactured cigars would not appear in North America until the 1760's, but hand rolled will work for GAoP.
As to the assertion that papelitos were considered feminine, I have heard it as rumor but have not read of it. I guess it is up to you to decide.
If you decide you wish to take up a pipe instead I would recommend either a clay pipe that you can easily replace once you've broken it (because you will), or a wooden one with a copper or brass cover for the bowl. There is writen documentation from the GAoP about these being the only acceptable pipes to be smoked below decks. Also, look for a sailor's cut or rough cut tobacco when purchasing tobacco for events. This is a longer, more solid cut that one needs to "rub out" in order to make it pack well into your pipe. It is also the closest you can find to what was available at the time.