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.
UDS with Weber rotisserie, Blue Weber Performer with gas assist, Smoke Hollow elec. smoker, SJG mini-WSM, White thermapen, Blue-Backlight thermapen, Maverick ET-732 x 2, BernzOmatic JT-850 Weed Burner, BernzOmatic TS8000BZKC Hand Torch.