I am sure someone who loves blood sausage will chime in here soon to counter BBQ Grail's response. I happen to agree with his response. But, here is the non-biased response.
If it is a true blood sausge, which is to say at least 50% blood, then you need to poach it if that has not already been done. Once it is poached to set the fillings, you can grill them gently (no poking your sausage). I would not suggest a lot of smoke, run a clean fire with minimal smoke, blood sausage has a distinct iodine taste that will not blend well with lots of smoke (in my opinion). I would serve with a strong sweet mustard. Good luck, do not overcook, as it will turn to powder if you cook it too long, even just a little bit.