"Which foreign is the most romance??"
Rolling papers should be easy to find. Just ask for juan3yan1zhi3 at cigarette counters - especially in areas where laowai hang out.
The best are probably ZigZag Slim - in the silver packet. They are all over the Tongli area of Sanlitun.
There's even a pipe shop at the 798 Art District now. Indian water pipers, hookahs, flavoured cigarettes etc.
I don't usually smoke but do occasionally imbibe. Anyone know of a very, very mild tobacco? Also I quite fancy getting hold of a churchwarded pipe as used by Sherlock Holmes. He never used a calabash in the books, of course.