Prepare the grill for indirect heat. In this case you want to run it around 120–130° C / 250-265° F.
I my case (and grill) used a brick to shrink the available space (this means less coal, which means lower heat), see image. It's not always needed though. Just make sure you keep a low and steady temp.
When the temperature is right it is time to place the wood chunks on the coals. I chose apple wood, but pecan works just fine also. Put the shrimp on the grate and close the lid. I use a frog mat to avoid having the shrimp fall through. Let the shrimp smoke for 18-20 minutes, they should get warm and gain a nice color. It doesn’t matter if all shrimp has thawed, they will thaw when in the grill. As soon as the shrimp are done put them in a bowl and serve. Preferably with a fresh aioli.