BRINE BRINE BRINE!!!
Did I mention brine? The best I've used is a simple brine made up of soy sauce and water. Any brine will work with whatever flavors you want. The Soy sauce brine just gave a really nice flavor, it seemed to go well with the mild gamey flavor. Pheasant will be terribly dry if you even think about overcooking it, so be careful.
I do hot and fast like any other bird. Apple wood is nice, but since Pheasant has more flavor it'll stand up to hickory as well. I've spatchcocked them and done them whole, and really with birds this small spatchcocking is almost unnecessary.
Wrapping in bacon is a little insurance against drying out, but if you get your temps right, it's not entirely necessary. For wild birds, you can get by with a little lower temp, maybe 150˚-155˚. For farm raised birds it's been suggested to take them to 165˚, as they are raised in pens and generally processed, leading to the possibility (albeit slight) of salmonella.
The last time I smoked game birds wasn't pheasant but Chuckar (partridge). I was at my in-laws and had only an ancient cast iron grill. It actually turned out to be a fantastic grill, but that's another story. Anyway, I did them indirect using apple wood chips. I had brined the birds for a couple hours in the aforementioned soy sauce brine.
This is a family of hunters who have been eating game birds their entire lives. Each and every one (except that one cousin who insisted they were undercooked) said it was the best they'd ever had.
So, in summary, the most important points are to brine and don't overcook them and you'll be fine. 275˚-325˚ for the smoker temperature.