During Try and Catch Me he not only lights up in Abagail Mitchell's house, but he leaves the cigar ash in the sand near the front door, ticking off the maid in the process.
This is a little off the subject, but in A Trace of Murder Calvert tells him that he gnaws on it like a beaver and gives him a proper cigar cutter.
In "Double Shock" when Mrs. Peck blasts Columbo when he drops the ashes, and then tries to wipe it out, in the gym area where Clifford Paris was found dead. Also in "Negative Reaction" when Columbo goes to see Mr. Glescko and while he is waiting he puts the ashes in his coat pocket.