The effect is simple: you borrow a cigarette and a coat. You hold the coat over your left hand, and push the lit cigarette in the coat. The coat seems to be burning, but the cigarette vanishes and the coat is shown to be undamaged.
The gags and bits of business, plus his entire routine (word-for-word) is what makes this a solid ENTERTAINING effect. Pick and choose which lines fit your style. The entire routine can last up to 7 or 8 minutes.
Learn from one of the greatest comedy magicians in the business!