Place your cheese of choice inside the cooking chamber of your grill. If you have a grill with a fan, turn the fan on, but do not light a fire. If your grill does not have a fan, place a small battery operated fan in the chamber to create a draft.
Place a smoke tube or wood chip box in the grill. Light the pellets or chips on fire with a torch. Allow them to smolder. It is best to NOT soak your wood chips. Soaked chips create white acrid smoke that will taste bitter. Cold smoke the cheese for 2-3 hours.
Remove the cheese from the chamber. Place in the refrigerator uncovered until chilled. Transfer to a vacuum seal bag. Vacuum seal the bag and return to the refrigerator. Let rest one week to mellow the smoke flavor. After one week, the cheese is ready to eat.