Hi - saw your post - worked as a baker in an Italian Bakery - they do not use regular ricotta in filling, they use RICOTTA IMPASTATA - it is much firmer and drier - similar to cream cheese in texture - it is very difficult to substitute any other ricotta for it and have it taste like a bakery. Contact me @firstname.lastname@example.org if you have any other questions.
Not sure what area you'd be willing to go for those CIGARS, but there's a very good bakery in Bay Ridge Brooklyn, called YOUR BAKER that makes those Cigars fresh every single day. They're located on 86th Street between 5th Avenue and Gelston Avenue. I'm sure they're in the yellow pages - YOUR BAKER...
Would you try making your own? I'm a former baker (profession) and current baker (hobby) and could tell you how to make them - they're not very difficult if you have some skills - the secret is in the 'schmear' - the chocolate filling they use. The 'dough' part is puff pastry.
Let me know if you'd like to try to make them yourself. email@example.com