Prepare your mixture. In a large bowl add your cream cheese, shredded cheese, and BBQ rub. Combine and mix well. Add this mixture to a piping bag, or to a ziplock bag for easy dispensing.
Take the top off of each jalapeño. With a handle of a spoon, scrape out the guts from the jalapeño and make sure to remove the ribs and seeds. Rinse each jalapeño as you go. Optionally you can split the jalapeños length wise in half.
Fill each jalapeño with your cream cheese mixture.
Wrap each jalapeño in bacon and season bacon with the BBQ rub of your choice. You may want to use a toothpick to secure the bacon on each jalapeño
Place the jalapeños on the smoker standing up. A rack may be very helpful for this if kept whole. If jalapeños were split, lay them down on the smoker grates.
Cook jalapeños for at least an hour, checking the crispness of the bacon after that time.
Take jalapeños off the smoker and let cool for 5 minutes