I tried to smoke shrimp and lobster tails earlier in the summer. As previously stated, they turned out somewhat gray and rubbery.
While the flavor of the smoke was good, the trade-off with the color and texture was simply not worth the smoke flavor.
Like others, I recommend that you grill them at a higher temperature with a little brushed on butter.
(Insert new smoker here!), Weber WSM-22, Weber 26.75 OTG, Blue Weber Performer with gas assist, Pit Barrel Cooker, UDS with rotisserie, SJG mini-WSM, Weber Go Anywhere