Cut the Kielbasa into 1 inch pieces. Cut your bacon in half lengthways. Wrap your cut bacon around the Kielbasa so it forms a shot glass. Take a toothpick and skewer at the bottom, securing the bacon join and the sausage.
Take the softened cream cheese, cheddar, diced jalapeños and the bbq rub and mix together in a bowl until well combine.
Place the mixture into a piping bag or a sandwich bag (snip the corner off), pipe the mixture into the pig shot until it is just belwo the top of the bacon.
Place the shots onto your smoker for about an 45 minutes to an hour until the bacon is fully cooked and the cheese filling is puffed and golden.
Remove the pig shots from the smoker and let them cool for a few minutes before removing the toothpicks.