Apud Rafael Caetano <rcaetano7@nospamyahoo.com> (sci.lang.japan) hoc legimus:
>My Genius 英和 dictionary says only 細い葉巻.　I suspect this is only an
>explanation rather than a translation.

Both the Kenkyusha Readers and 中辞典 say シガリロ and explain it
as 細い葉巻き. Eijiro also has シガリーリョ.

>I've seen リトルシガー (I took a while to decipher リトル) 

http://www.csse.monash.edu.au/cgi-bin/cgiwrap/jwb/wwwjdic?9MGG%A5%EA%A5%C8%A5%EB%A5%B7%A5%AC%A1%BC  expands it correctly.

>and ドライシガー on the same place. Do these terms denote different types 
>of cigarillos?

>I've also seen ミニシガー and シガリロ, for instance here:
>http://csx.jp/~wrlz/cigarillo.html

For popularity, Google sayeth:

シガリロ    4,480
シガリーリョ  2
ミニシガー   407
ドライシガー  615

>So, do they all mean the same thing? Which term would a cigarillo smoker
>use? What about a non-smoker (or which term would be easier for him to
>understand)?

I'll punt for シガリロ.

>WWWJDIC has no entries for either "cigarillo" or any of the attempted
>Japanese translations above. Besides, the entry for "cigar" includes
>this example:
># 葉巻はいかが？
>Have a cigarette?

>Is 葉巻 really used for cigarrettes?

Not that I'm aware of. I'll fix that example, and add シガリロ as an entry.

-- 
Jim Breen        http://www.csse.monash.edu.au/~jwb/
Clayton School of Information Technology,
Monash University, VIC 3800, Australia 
ジム・ブリーン@モナシュ大学