I smoked some whole Vidalias once, but it didn't work well. I peeled them, lopped off the stem end and lubed with evoo. They smoked for quite a while, but the inside never did get "done," the outside was leathery, and they didn't have any smoke flavor on the inside. They were good, though, when chopped and sweated or sauteed for any dish that you might want some smoke flavor in.
Kevin's right - you need to expose their insides. I'm going to try his method next year.
D