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In addition to all of the various cured meats I’ve been doing lately–I’ve added a pork shoulder into the mix–I’m smoking a bit of cheese, in anticipation of Thanksgiving.
Making smoked cheese is one of the simplest, tastiest, and most under-appreciated ways to really bump up an appetizer tray. I suppose the cheeses would go great in a dish, but mine have never actually lasted long enough to cook with them.
Picking Ingredients
The process couldn’t be simpler: buy some cheese from the grocery store. Big blocks of cheese, about a pound apiece, work best, but I’ve also used cheese sticks. My favorite types for smoking are Monterey Jack, Pepper Jack, and sharp Cheddar, but you can use whatever you like.
Second in importance only to the cheese would be the type of smoke. As with the cheese, let taste be your guide. I would stay away from any of the heavier smokes, though–mesquite, oak, hickory–unless you’re really certain that’s what you want. (And even then, I’d start small, and check the results.) I really like fruitwoods; with most cheeses, apple is a good match. Maple, beech, or pear work well, too, but cherry might clash a little with the cheese.
The Process
Chop the blocks of cheese into moderate-sized blocks, trying to keep things under an inch in thickness. I usually halve the blocks, then halve the halves, then halve those bits; I end up with pieces about 2″ x 4″ x 1/2″, give or take. This lets the smoke reach all the sides, and penetrate into the cheese, so it’s not just a “surface-taste” event.
Once that’s done, arrange the cheese in your smoker, and fire it up!
Cold-smoking is definitely the way to go, for cheeses. We’re not worried about bacterial contamination, so there’s no need to really heat things up; in fact, you need to keep things cool enough that the cheese doesn’t melt. That would cause a big mess in your smoker. It’s for this reason that I really like fall. Things outside have cooled down to where I don’t generally have to worry about the temperature. 
How long to smoke? To taste. I like to let things go for at least six hours; longer if it’s a stronger-flavored cheese. I also like to flip the blocks a couple of times, just to ensure even coverage of smoke.
It’s okay if the cheese sweats just a little, but if things start getting soft and runny, pull them out! It’s a really short step from “soft” to “melted,” and once melted, the cheese is difficult to rescue from the inside of the smoker…
Let it Cure
Far and away the most difficult part of the process is waiting for things to be just right after the smoke. Ideally, you should seal the cheese blocks up in plastic, then let them sit in the fridge for a week or so. (I use a vacuum sealer; this keeps the inside of the refrigerator from smelling like a smokehouse.) The smoke needs time to really, thoroughly penetrate into the cheese, and to mellow a bit. Don’t be afraid to let it sit longer than a week, but much past two and you’re really reaching diminishing returns. Time to eat!
Uses for Smoked Cheese
Beyond the obvious sliced-on-a-tray-with-crackers-and-apples, I would imagine that just about any savory dish involving cheese would be improved with a little smoke. Smoked cheese toast? Sure! Some smoke in a fondue? Why not! Chicken cordon smoked bleu? Yep! The sky’s the limit, really. (I’m wide open to suggestions in the comments!)