I have smoked grains many times. In fact, the only beer that I ever got qualified for the AHA national competition was a smoked porter.
It helps if you have a proper "smoke screen." For a bullet style smoker, go the crafts or fabric center and get a thing called an "embroidery hoop." An emroidery hoop consists of two concentric circular pieces that clamp together, I guess to hold a piece of cloth when you embroider. They come in different sizes. Get the size that will fit your smoker. Then go to the hardware store and buy some metal screening, like for putting in windows. (Don't get the plastic kind.) Then cut a piece to fit the hoop and clamp it in. Use some electrical tape to cover up the rough screen edges. The embroidery hoop was my wife's idea, and I used it for many years on my el cheapo Brinkman.
For my bandera style smoker, I built a square frame (out of wood) to fit the cooking grates, then stapled the screen to the frame. Use this mod screen side down so that the frame acts as a lip to keep the grain from falling off.
Either way, you can build multiple smoking screens and stack them up in your smoker to smoke a bunch of grain all at once.
I generally use malted 2-row barley or wheat malt, but I have also smoked crystal malt as well.
Spread dry grain in a single layer on your screen. Do not overfill your screen. No need to wet the grain, no need to stir it, no need to futz with it in any way. Use a wood chunk and just a handful of charcoal in your firebox/firepan, the smallest fire you can maintain. You want to keep the temps down because you do not want to roast the grain. Every half hour or so, add a few more lumps of charcoal. Add a wood chunk whenever you need to. I generally use hickory, but any type of proper bbq wood would do.
I generally smoke the grain for about three hours, but taste a kernel every hour or so to see how the smoke flavor is progressing.
To use, crush a pound or so of malted grain and put it right in your mash along with your other grains. If you are an extract brewer, crush the malt and soak it for about 45 minutes in hot water (150-160) and add the hot liquid to your brew pot. Rinse the grains a few times and add that liquid as well. If you are using smoked specialty grains, you can treat them like any other specialty grain.
I really like brewing smoked beers because they combine my two pashions: bbq and brewing.
By the way, these screens also work great for smoking nuts. Believe it or not, smoked shell-on pistachios are fantastic. Treat the nuts like grains (except don't add them to your brew pot:eusa_clap).
Good luck, and report your results back!
--frank in Wilson, NY