for the thermometer, I use an el cheapo weber digital remote thermometer. It is a little finicky and goes through batteries pretty quickly. I normally have to change them in the sending unit about once per smoke. Since i am rather new to this as well, I haven't invested in a good thermometer yet. What I do is hang the remote probe down through the middle of all the hanging sausage so that the probe hangs right in the middle between the sausage links. then i drilled a little hole in the side on my smoker and stick a standard meat thermometer from Wal mart down the side to monitor the external case temperature. It will take some playing with, but i know that since the sausage absorbs heat, it will always be about 15 degrees cooler in the middle of the sausage than the external case temperature. I set my digital to alarm at 135, so i know that the external temperature is no hotter than 150 while i am smoking. It is rather crude, but it works for me. I think that half of the fun is just figuring out your method.
in any case, if you are looking for a good thermometer, it seems that the guys on this board tend to like the Maverick thermometers. I know that there are models available with two probes that go into one sending unit, and you can monitor the internal meat temperature as well as the chamber temperature from one remote unit. I have heard a lot of good things, but can't endorse one over the other as i haven't used them. Don't worry, though, someone will be along that will have better advice, and experience with maybe several of these units. My smoker doesn't get hot enough to finish most things, so i end up finishing them in the oven. I normally lay my remote probe on top of the sausage in the oven to make sure i'm monitoring the oven temp, then i stick a couple of cheap meat probes in a few of the sausage links, and watch them through the window in my oven until they are at 152. Then i take them out and shower them in cold water until they are at 120.
Actually, i don't know how much money you are looking to tie up in this right away (all of my smoking purchases need to get approved by "the boss"), but one of the things that i am looking at is a PID, which is a temperature control device that automatically monitors your temperature and adjusts your heat source accordingly. There are some PID threads on this board that explain them a little better than I can, because i honestly have never worked with them. However, it is my understanding that they make them for all kinds of smokers. For electrics, for example, if you have a hot plate, you plug it into the PID unit, and the PID has a thermostat that sits in your smoker. When you get up close to temperature, it decreases the amount of juice that goes to your hot plate rather than just turning the burner on and off, and then going way past your temperature point. As a result, you can maintain temperatures within very narrow ranges. There are some that you can even program to step up the temperature at certain time intervals. Like you could set it at 130 for an hour, then it would automatically step it up to 150 for an hour, and you can do this up to 5 or six different timepoints. I would imagine that for a gas burner, the PID would attach to some sort of gas regulator, and then you would also need to have an ignitor for if the gas shuts completely off (similar to a furnace). But, i have only looked at electric ones, so don't quote me on this. I know a lot of guys say that it is overkill, but I figure that whatever I can do to ensure that i get good product while minimizing the time that i need to be tinkering around with the temperatures, the better. But, like so many other things with this hobby, it is personal preference. :)
Also, to answer you other question about stepping up the temperatures with no smoke, it is my understanding that this practice is done to dry the casings to prepare them to take smoke. Times and temperatures vary depending on the recipe that you are using, but i have normally dried my stuffed sausage with no smoke for roughly 2 hours at between 100 and 120 (for summer sausage), then slowly brought the temperature up to 140 to 150 while adding the smoke. Some sausages require more smoke than others though.