Preheat the smoker to 250°F.

Cut each slice of bacon in half crosswise and slice the Kielbasa into approximately ½ inch thick rounds.

Wrap a half-slice of bacon around each kielbasa slice, positioning the sausage at the bottom to create a "shot glass" shape. Secure the bacon with a toothpick.

In a bowl, mix together the softened cream cheese, shredded cheddar cheese, and BBQ rub until well combined.

Spoon the cheese mixture into each bacon cup, filling just below the top edge of the bacon. Or you can pipe the mixture into a piping bag or a sandwich bag with a corner of the bag removed.

Place a pickled jalapeño slice on top of each pig shot.

Sprinkle a pinch of brown sugar over each filled bacon cup for a caramelized topping.

Place the filled cups upright on the smoker grates, ensuring they are stable. Smoke for about 2 hours, or until the bacon is crispy and the cheese filling is bubbly.

Carefully remove them from the smoker.

Remove the toothpicks from the pig shots, serve warm and enjoy!