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.
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.
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.