To build onto @rpmerf 's answer, here is a visualization:
In this example, let's say you have a SPARE unused Fuse slot, and the ALWAYS ON Cigarette Fuse slot. Depending on your manufacturer's recommended maximum amperage (my Cadillac CTS 2008 supports up to 30 amps in the front panel shared across both spares), you could use two Fuse Tap pigtails connected (like properly crimped) via the red cable, and divert power from the positive HOT SPARE to the negative Cigarette terminal, while inserting 2 total fuses into the top of each pigtail.
But don't forget, if the cigarette lighter's maximum allowed amperage is 20 amps, to use 20 amp fuses, not 30!
Here's another schematic of this possible idea:
It should work because the HOT from the cigarette connects to nothing and no longer powers anything constantly. And the HOT from the spare travels via 2 fuses and the red cable to power the cigarette.
Don't forget: It's super important to get the polarity correct! In this diagram, I purposely REVERSED one of the pigtails (so I don't need to solder any wires into the fuse hole).
Nobody takes responsibility for blown fuses, explosions, toxic fumes, or defragmented zebras!
Here's a photo of me successfully carrying my HOT spare to my cigarette lighter: