I have had good success at placing them in tubular cheese cloth (tied at both ends). I cold smoke three cheese cloth "pouches" in with my cheese, using an 18-inch A-Maze-N tube smoker. I have tried Alder, Hickory, Cherry, Apple and Pecan. Apple or Alder produced the best results for my taste buds BUT all experiments were absolutely amazing ;)
Again, just my taste buds, I hard-boil the eggs, peeled, then apply Tony Chacher's Cajun Seasoning. I smoke them for the entire 18-inch tube smoker, approximately 6.5 to 7-hours. Both cheese and eggs come out wonderful...