There are a few ways to go. Easy or more involved.
I like to buy a partially cooked, or "ready to cook" ham. Then I just rub it down (or season however you'd like) then cook it at a hotter temp. The wrapping on the ham will usually say, "Cook in a 325 degree oven for XX minutes per pound until internal temperature reaches XX". Just follow those guidelines, but use a smoker instead of you oven. THIS method is called a "souble smoked" ham because the ham has already been cured and smoked before it gets to the store.
Here's some links to some hams I've done:
Here's my favorite double smoked ham recipe:
Then there's a more involved method of getting a FRESH or GREEN ham that is just raw, uncured meat. You'll then need to either wet or dry cure it. THEN you smoke it. It will take a little longer, since it's completely raw. I personally have not tried this YET, but I have one in the freezer that I plan to do for Christmas.
You can google, "How to cure a fresh ham" and you'll get the low down, which is what I did.