Indeed. If you don't plan on smoking them, you have to sell the cigs to make this work. Flight costs $N, so you buy enough cheap cigs here and sell higher there so that you make $N back, plus commission for your effort.
Usually this is near-impossible to enforce, but attempts to organise/aggregate these (which I initially thought this site was going to attempt) do raise your odds.
Furthermore, the medium in question (passenger flight) places practical limits on volume, and raises likelihoods for getting caught. E.g. a large suitcase full of cigarettes is much riskier through an airport, than the same amount of cigarettes tucked away among a lot of other stuff in the back of a 1 ton truck going over the border.