I haven't had many cigars with a cedar sleeve, but I do remove my cigars from the cellophane. I'm not sure if that makes any difference, because cellophane and cedar are both supposed to breathe.

Edit: I did see a neat trick once where someone lit their cigar using the cedar sleeve. They slid it down about 1.5" and lit it. Took a few puffs and it lit the cigar pretty well. Eventually he blew out the sleeve and slipped the remaining bit off into the ashtray.