On Market Street about 4 blocks down from Senor Frogs, there is a store that sells travel humidors adjacent to a jewelry store. They have real Cubans there, but expect to spend 12-15 bucks apiece for Corona or Robusto size. Might be called "Park Lane".
They also sell Cubans across the Bay at Atlantis. A $2 boat ride from Market Street will get you over there.
Everything else I saw and bought was fugazi. Bought 3 Cohibas for $10 on the beach...not bad $3 smokes, certainly not Cuban.
Graycliff sells there own cigars, but not Cubans if I am not mistaken.
My wife and I had our honeymoon at the Sandals Royal Bahamian in Sept of 2003, and went back again this past Feburary...you will love it.