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Dennis, I've never cooked lamb either but there is a section on the forum dedicated to lamb. I've never visited that section but probably a good starting point.
http://www.smokingmeatforums.com/f/126/lamb
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Don
Try using a toothpick to punch a hole or two in the bottom of the pepper so that you will not be trapping any air as you stuff. Also soften the cream cheese, microwave or sit out of fridge till nice and soft, shred the cheddar so your mix is nice and smooth.
I would just get up early and cook the day you intend to serve them since BB's shouldn't take more than 5 hours. Don't think I'd try to hold anything that long. If you must pre-cook, I'd go the re-heat route that Chef JimmyJ suggested.
For my smokers I soak mine in plain water for a few hours or even overnight. Hit them with a stiff nylon bristle brush. Easily cleans the mess but still leaves a layer of oily residue so no rust issues even if it is a while until your next cook. Keeps the Mrs. happy cause they look nice and...