Allow me to give you my method.
Note that I don't use any sauces since they usually contain a lot of sugar, and, besides, I strive to create smoked meats where the meat itself shines, not the added layers of sauces and the like. Each to his/her own.
Try to find the biggest wings you can. The meatier they are, the more fun to eat them and the better the flavor profile.
I generally buy Murray's chicken, but their wings tend to be small with hardly any meat on them. Once I discovered the huge, meaty wings in my local butcher shop in Brooklyn (Paisanos), I never turned back, and now I recommend using the biggest wings you can find.
Remove the tips and keep them in the freezer for chicken stock.
Separate the wingettes and drumettes.
Place the pieces in a bowl, add some olive oil, mix well so all pieces are coated (but not drenched) in oil, and add your rub. Mix well so all the pieces are seasoned equally. You can do this several hours before you smoking, but I don't know if seasoning them earlier makes a difference.
Smoke for 1.5 h on 225F (2oz wood, such as oak or pecan), then finish in then oven 10 min @ 425F.
Alternatively, smoke them for 1.5h on 225F, then allow to cool completely (first at room temperature, then for several hours in the fridge). When you're ready to serve, bake on 375F for 35min., flipping them midway.
Both methods work. The nice thing about this method is that if you're throwing a party and you'll be busy with other things, you can smoke the wings hours in advance, and just finish in the oven when you're ready to serve. I've even smoked a large quantity, froze them, defrosted what I needed, and finished in the oven just before serving. Oddly, the frozen-and-then-defrosted ones tasted even better!
This is the rub I use:
2.5 tbs pepper
2 tbs salt
2.5 tsp granulated garlic
2.5 tsp powdered onion
1 tsp hot paprika
1 tsp mild paprika
1 tsp smoked paprika
I think this yields enough for 5 pounds, possibly more.
Hope this helps!