The interior of the smoker is what you want to season. You can put the grates in there to if you want. But if they are stainless steal I don't know why you would need to but I put mine in there anyway.
IF your grates are cast iron, you MUST season them.
I have both cast iron and stainless. The stainless ones come out and get washed after every smoke. The iron ones get scraped down, heat-cleaned, scraped again, and hit with a coating of oil and re-seasoned.
That's the winning answer right there! There's no need to season the SS grates at all but the should be cleaned after each use regardless of what they're made of. SS in the dishwasher and cast iron get heated then hit with a brass brush dipped in water (to create steam which essentially de-glazes them) and then re-seasoned as Coyote described.
I'm generally not industrious enough to clean my CI grates right after a cook. Most of the time, I clean them the next day by heating them up on my gasser, giving them a good brushing & spraying them with oil while still warm. I normally give then inside of my smoker at light spray of oil as well. I used to use PAM, but I tend to be cheap so I bought a cheap trigger style spray bottle (garden dept at Walmart) & fill it with bacon grease.
I seasoned today and realized I need SO much more lump than what I used. I was able to maintain 250* on both sides for about 2 hrs and then a steady drop. The instructions read maintain 300 for 2 hrs but I didn't get there. Should I season more?