Prepare the brine.
While the brine is cooling, thaw the shrimp in a colander under cold running water.
When the shrimp is thawed, put the shrimp in the brine and let it sit for 30 minutes.
After brining, rinse the shrimp and place in a bowl.
Cover bowl with plastic wrap, and insert the hose of a smoking gun a few inches into the bowl, being sure to tighten the plastic back around it.
Fill the smoker with wood chips and light it. Smoke the shrimp for 30 to 45 minutes, refilling the wood chips when needed.
Prepare the cayenne honey glaze.
While the shrimp is still smoking, prepare your grill and get it nice and hot. Shrimp cook quickly, so you can use a relatively high setting to get nice grill marks.
Season the shrimp with a generous sprinkle salt and pepper, and toss in canola oil, making sure to coat all of the shrimp
Place all of the shrimp into the honey glaze and give it a thorough coating. Let sit in the glaze for 5 minutes to let it marinate a little.
Place the shrimp on the grill, only cooking as many at a time as you can handle. This shrimp can be served at any temperature, so if you want to make several batches and chill them, then that works well also.
The shrimp is done when they start to curl up into little shrimp circles, have good grill marks, and are pink and no longer translucent and gray.
Serve with other grilled foods, on a salad or pasta, or chill and serve with your favorite cocktail sauce.