You'd think that bricks would hold heat much better than water, plus if you are smoking for hours, I'd imagine that bricks would heat up relatively quickly.... with a cheap electric smoker (Meco), retaining heat in the unit it paramount...
Try the playbox sand sometime. Easy to find. Home Depot, Lowes, Wal-mart and pretty cheap. One bag will last you a long time. Just remember to moisten it some and place a sheet of foil over top to catch spatters. Then when ready to use again, add some water to dampen the sand again. You can use it two or three times easily if kept clean.