Have not smoke Mahi, but I have grilled it over charcoal and it is awesome! I mix soy sauce and sesame oil 50/50 with a splash of lemon juice, then let the mahi sit in that for about 30 minutes, toss it on a charcoal grill and get a good hot sear on it as it cooks (it cooks fast!). Super tastey, fast, and easy!
If you want more of a smokey flavor do the above, but about 4-5 minutes before you put the fish on put a chunk of "flavor" wood on you coals, it will ad a nice light smoke flavor without over powering the fish.
You can put them directly on the rack, just make sure your racks are clean and give them a quick spray of Pam right before you put the fish on. Mahi is a very dense meat so it holds together really well.