I have been given a cigar humidor. To take advantage of its controlled humidity, do I leave cellophane wrapped cigars sealed in the humidor, or do I remove the cellophane?

Enjoy. You can either leave them in the cellophane or remove it, it matters not. The humidors at a tobacconist's have cigars stored both ways and they say the cellophane does not impair or improve humidification. Personally I remove it.

A couple of other points. One, be sure to "season" the humidor before you use it. Plenty of videos on You Tube talking about this. Generally involves wiping down the cedar inside of the humidor with a rag damp with distilled water until the humidor gets to the point after several days that it is holding the humidity level constant. Two, consider purchasing a device called a Cigar Oasis. It is an electronic humidification system. They are not terribly expensive and work great for maintain a consistent humidity level. Alternatively go with the Boveda humidification packs. They work okay but you have to periodically replace them.

What Jines said with one exception... I use the Boveda Humi packs exclusively now. I recharge them by placing them in a zip lock bag with some water in it. Takes about a week but they're good as new. Dry the outside before you put them in with your cigars.

I have a customer/friend that goes south every year + brought back a box of 1955 Cuban Cohibas that have in a humidor environment + they were perfect.Maybe that Fidel is gone we can start getting some good legal cigars.