The Vanishing Trick
This trick can apply to any small object, mainly because of the method used. It requires a small magician's prop called a thumb tip. A small item made of plastic or rubber which usually fits loosely over the thumb with a little space inside to conceal an object.
The Trick
A popular example is to have a silk handkerchief or other small object pressed into the top of the left fist. After pushing it well in with the right thumb, the left fist is opened to show the silk has disappeared.
How
For the vanish, the tip is already in the left fist. The handkerchief or cigarette is pressed into the tip with the fingers and then finally the right thumb, which comes quickly out of the hand with the tip on, and the object inside, between the tip and thumb. While the audience is looking at the fist, the performer has chance to misdirect and dump the tip and contents in a pocket.
Here is a video of this particualar trick, while the thumb tip is not very well concealed in this particular video, you can see how it is done here.