They're a resistance fit with little fingers in the socket. You can either push the fingers in slightly, be careful, or try polishing the lighter (non flammable stuff). Also look to make sure nothing is misshapen.
Mine doesn't come out easily but if I twist it while removing it's simple enough. You have to remember that if it came out too easily it could launch a hot lighter out into your car.
Not good, and I speak from experience.
You mean lighting up when the headlights are on right? It should but I honestly don't remember if mine does or not.
Never used them when I smoked.
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