If you smoke down close to the band the glue on the band will heat up usually making it easier to remove. Sometimes you do tear a little bit of the wrapper but sometimes it's worth it to keep going. I always remove the bands and keep going.
Someone once told me to smoke until you no longer enjoy it, whether that's an inch in or an inch left.
I use a corn cob holder to hold the butt if it's too hot for my fingers, gotta get every bit of the good ones.