I smoke a lot of cheese, mostly while I'm doing my beloved seafood - prawns and scallops and the kokanee I catch in the lake. I've got the temp down at 225 or lower for this smoking. Vents are mostly closed, and the coals have aged a while before anything goes on.
I snagged a rectangular box, and cut curves in the sides so it sits on the top of the WSM pretty well. Then I cut some holes and inserted dowls through the box at two levels. Two cheapo wire grates from WalMart cut down to size go on the dowls. I generally cut the cheese in 1 inch cubes and put them on soaked skewers (so the cheese doens't split when the skewer goes through). I've found that swiss and white cheddar work well. Gouda and ementhaler not so much. I use a combination of apple and alder for my seafood and fish smokes. The cheese comes out very smokey, with a nicely darkened exterior. My wife thinks it's too smokey. But not me. And the dog is just nuts for it. It must turn on some ancient campfire instinct in her somehow...