Kid Cudi is NOT Don Draper, so he doesn't get to smoke wherever he wants -- and he learned that lesson the hard way when he sparked up at the MTV VMAs last night.

Honchos at the Nokia Theater at L.A. Live spotted the rapper puffing away as Lady Gaga went on stage to accept the award for Best Female Video -- which is a problem because the place is a non-smoking venue.

A rep for the building tells TMZ an usher was dispatched to speak with Cudi -- where, "He was asked to put it out and he complied."

And they all lived happily ever after.