I just happen to have a page that tells how to smoke cheddar cheese, and it can be used for most other cheeses too. It's important to use the cold smoking method, keeping the smoker temperature low, no higher than 90 degrees. If the temperature goes above that, the fat in the cheese will begin to melt, changing the texture and flavor.
I describe a simple, inexpensive method you can use to generate cold smoke in a little video I made. After the cheese is smoked, wrap it in plastic wrap and refrigerate it for a day or two. The smoke flavor will work its way deeper into the block.
