Wrapper, in cigar terms, is the outer layer of leaf tobacco on the cigar. Starting from the inside and out cigars generally have three layers. The filler (most of the tobacco at the core), the binder (a layer of tobacco to bind the filler together) and the wrapper (the outermost layer of tobacco to make it nice and pretty and add to an extra layer of flavor). Blending these three layers of different tobaccos create the flavor profile of the cigar.
You are probably speaking of the cellophane (clear sleeve around many cigars). I store them with the cellophane on. It's permeable to water so humidity and gasses can diffuse in and out of the cigar and the surrounding atmosphere that you are storing them in (although at a slower rate than bare ones). It also provides an extra layer of protection from physical damage. If they come with the cellophane I leave it on if they don't I don't.
Boxes of cigars are also wrapped in cellophane. I typically take this cellophane off while I store them because I usually dig into the box to grab one now and again. They made it home safely so there is no need for any extra physical protection for the box.
These are my personal preferences. Others have different preferences.
