I think your idea would work ok, though there might be a couple problems. 2 hours at 160°f likely will get you in the 110°-115° range, assuming you start with meat at refrigerator temperature. You're then left with the old problem of burned skin while you're trying to get the inside done on the grill. This is exacerbated by your mention of dipping them in sauce before going on the grill. (I'm assuming you're referring to grilling over direct heat)
There are a couple things you could do that might make it easier and result in a more consistent finished product.
1. Cure your thighs. The addition of a nitrite cure to your brine will allow you to more safely smoke at lower temperatures for a longer time. Meaning you can get your chicken up to 145°-150° (Probably 4-5 hours) in the smoker, then sear the skin over direct heat with less chance of scorching. The cure will also give the meat that signature "hammy" flavor and texture like the turkey drumsticks you get at carnivals. Amounts of cure and times for brining can all be found here on this forum. Just do a search for "cured chicken".
2. Skip the Little Chief and smoke your chicken indirectly in your grill. Depending on the grill it should be easy to do, just make one side hot and add chunks of smoke wood. Get your temperature on the "cool" side to 250°-275° and smoke the chicken till it hits 150°-155°, then sear it on the hot side. This is the easiest, most proven method and has provided great results many, many times.
Good luck and let us know how it turns out!!
Here's one I did on an old gas grill a while ago: http://www.smokingmeatforums.com/t/175763/thighs-and-drums-on-a-gasser-over-pecan