I do both. My wings are rubbed with a mix of homemade rub and oil. Then they go on with smoke(generally apple) at 250 for 1 to 1 1/2 hours.
While they are smoking I make my own hot sauce. Its a mixture of franks hot sauce, cider vinegar, bourbon, and my homemade rub. I bring it to a boil and then take it off the heat to simmer.
to finish the wings I brush the sauce on and crank the heat up to about 350. Brush one side with sauce let go for 5 minutes, then turn them brush the other side and let go another 5 minutes. The come out fantastic with good crispy skin.
They are also great with just the rub and no sauce