I always have a roach in there. Otherwise you get a lip-burner, and you also might lose out on a bit! If you're out and about then you might not get to save the but. What do you mean keep the roach in the paper? Where else is it supposed to be?
No what I mean is some people keep the roach in the paper and just throw it in a pipe like that or even just throw it in a blunt with the paper still on. I had a buddy line up a bunch of roaches still in the paper and wrap it up in a blunt. I wanted no part of that shit lol, gross.
If you smoke the roach you have to take the roach weed out of the paper before you smoke it, all I'm saying.
I keep my roaches in the ash tray, the last place they should be, it's just a bad habit of not taking them out. I got about 5 in there right now.