It's an oblique reference to Humphrey and his iconic image of standing around with a lit cigarette hanging downwards from his lips. Actually, Erin and Jess would be hijacking the supply train, not bogarting it, strictly speaking. "Bogarting" is not only holding up the supply instead of passing it along, but actively wasting it--a cigarette (of any type) that is dangling downwards burns faster than one held tip-up--hence the real issue with bogarting.