Preheat your smoker to 275F
Cut your jalapeños in half longways. A lot of people use gloves while cutting jalapeños. If you choose not to use gloves, that is ok too, just make sure to wash your hands well after handling them and do not rub your eyes.
Scoop out the seeds from the jalapeños.
Mix together the softened cream cheese, cheddar cheese, and bbq rub if you are using it.
Fill your jalapeños with the cream cheese filling.
Wrap a slice of bacon around the jalapeño making sure the seams are on the bottom. Alternately, you can use just a half a slice of bacon if that works better. If the bacon is wrapped too thick, it will not crisp up.
Lay your peppers on a rack that you can easily transport to your smoker. Or, lay the rack on a baking sheet and put that in the smoker. If you use the baking sheet, this will protect them from burning, but it will take longer for the bacon to crisp up. Either way, you will want to keep an eye on them. It should take about 45 minutes to 1 hour to cook.