Fill your smoke tube about 80% full with your choice of wood pellets. Lay the smoke tube down on the grill grates in the area where you want it to be during the smoking time. Use a torch to light the wood pellets on one end of the tube. Let the pellets burn with the grill lid open for about 5 minutes to make sure that the pellets light and produce consistent smoke. *If there is still a flame present after this time, blow it out so that the pellets are smoldering. Then close the grill lid.
Cut the blocks of cheese so they are about 1" thick (if needed - most 8 oz blocks are the perfect size already). Add several ice cubes to a sheet tray. Place a wire rack on top of the ice. Unwrap the cheese and place on the wire rack, making sure there is space between each block to allow smoke to circulate. Add a sprinkling of seasoning to the top of the cheese if using.
Place the sheet tray with the cheese on the grill grates on the opposite side of the grill as the smoke tube. Close the grill lid, and cold smoke the cheese for 1-3 hours, depending on what type of cheese you are using and how much smoke flavor you want. *You can also place a thermometer inside the grill to monitor the temperature of the grill chamber. If the temperature rises above 90°F, the cheese may melt. Add more ice cubes to the bottom of the sheet tray as needed.
After the smoking time, remove the cheese from the grill. Wrap the blocks of cheese in plastic wrap and refrigerate for at least 4 hours or overnight until ready to use.