Pre-heat your smoker to 250°F.
Take each bratwurst and slice it lengthwise down the middle to create a cradle for the cheese. Do not cut all the way through to the other side – aim to cut about ¾ of the way through the sausage.
Using your fingers, push back the meat filling to create a cradle in the center of the sausage.
Slice your cheese into rectangles that are about half an inch shorter than the bratwurst on both sides.
Place the sliced cheese in the center of the bratwurst and push the edges together to seal the sausage around the cheese.
Wrap each cheddar-stuffed bratwurst in a slice of thick-cut bacon.
Season the bacon on all sides with your barbecue rub.
Place the bacon-wrapped brats directly on the grates of your smoker and let cook for 1 hour, or until the internal temperature of the sausage reaches 165°F. Serve immediately and enjoy!