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A herf can be held at your home, a cigar bar or club, a restaurant that is cigar friendly or even at a cigar shop that is set up to cater for groups. You can organize a cigar tasting along the lines of a wine tasting and if you've arranged for the herf to happen at a restaurant then you may be able to arrange a special menu that will compliment the cigars you have on hand.

At the same time as you're organizing a menu you should also think about drinks to go with the meal and the cigars. Of course this might be a little difficult because not everyone has the same taste in drinks but you could certainly arrange for the restaurant to cater for the basics.
The forum members here at Puff.com have had several "rolling herfs" where we take an entire day and night traveling around to different cigar shops, cigar bars and other cigar friendly places, touring a city or area while smoking cigars at every stop.
For our last one in November 2008, we had a herf that lasted an entire weekend in the "Cigar City" of Tampa. We also cruised around the adjacent cities of Clearwater and St. Petersburg.
We started on Friday with lunch at King Corona in Ybor city with Cigars and Cuban sandwiches. Then we took a walking tour of Ybor City and had beers and cigars at Stogie Castillos.

My Cuban Sandwich at King Corona
Later we had dinner at the Tilted Kilt in Clearwater, on the terrace while also enjoying cigars.