I agree, a woman should not (and will not) light her own cigarette, at least not when I'm around. :-)

I have a favorite line I use. I stole it from an old Sherlock Holmes movie. It is similar to the line you suggested, but IMO a bit more classy.

Sherlock sees a woman place a cigarette in her lips, lights a match (of course nowadays it would be a lighter) looks the woman straight in the eyes (also good style) and says "Permit Me."

Love that line and use it all the time.