I cook mine in my UDS, and I put them on a piece of foil. It prevents it from falling through the grate, and I haven't noticed a lack of smoke flavor.
We usually make 2lb. stuffed fatties, filled with shredded cheddar, ortega chilis, and chopped cooked bacon. When we wrap them, it takes about a pound of regular sliced bacon. I've noticed that putting the fatty diagonal on the weave, makes wrapping and securing it much easier.
We've done them with and without rub, we prefer a rub. Normally I use Plowboys Yardbird, but I imagine any rub you like will be just fine.
22.5 OTS(H), 22.5 OTG(DA), 22.5 Daisy Wheel Kettle(EE), NBBD, UDS, MUDS, 6-burner gasser