Ya, you can take that roach, unwrapp the paper, and toss in a pipe or bong. Or you could leave the paper on, doesn't matter.

I usually roll a "filter" at the end of my joints. What that is basically, is a small, rolled up piece of cardboard at the smoking end of the joint. It acts as something to hold onto while smoking it, and you're not leftover with a small roach. It allows you smoke the whole thing. That's what I do because I hate the smell of roaches.