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Rolling cigars in wine
I find your question most interesting. My gut reaction is to avoid soaking cigars in anything that would cause them to absorb additional moisture. However, if they’re smoking fine for you, what can I say than more power to you. Moreover, I would assume that the additional moisture would drive the RH up in your humidor. I’d also be curious to know how long you leave them in the humi until they’re ready.
With regard to it being “acceptable,” I suppose whatever works for you (and cigar smokers in general) is fair game.
And as far as “a better way” goes, I tend to avoid such practices. I have seen some cigar smokers dip the head of their cigar in a glass of brandy or cognac, wine, etc. Even I’ve tried this a few times and it wasn’t bad. Therefore, if I wanted to flavor my cigar with wine or some other liquid, that’s how I would do it. The only thing I would add regarding your wine rolling method would be to have a cigar humidor dedicated to housing only the wine rolled cigars. Unless you can find a way to infuse your cigars without having to soak the wrappers, I’m not sure there is any other way to get the results you’re looking for. Perhaps readers of this post have some suggestions? In the meantime, enjoy.