Cut, remove band, toast, light, smoke.

I take the band off before lighting for two reasons. First, I find it is easier to carefully remove a band that doesn't want to let go if the cigar isn't approaching nub-size and there isn't a smoking fire in my face and 1/2 inch from my fingers. The heat DOES NOT make a stuck band easier to remove.

Second, to me it looks either unpracticed or pretentious to smoke a stogey with the band on. That's just how I feel about it, your mileage may vary.