Cut the sausage into coins, there should be about 28 pieces.
Lay the bacon on a cutting board and cut it in half directly down the middle.
Wrap the bacon around the coins in a circle, securing through the base with a toothpick. Refrigerate until firm while you make the filling.
Mix the cream cheese, shredded cheese, and barbecue rub in a bowl until smooth. Place in a piping bag or zip lock baggie for easy piping. (Filling can be done with a spoon as well!) Heating for 30 sec in the microwave helps create a smooth filling that goes in like whipped cream.
Fill the cups and refrigerate for 30 minutes to help them set up. Place the finished cups on a wire rack atop a baking sheet and use this to transport them seamlessly from refrigerator to smoker, as well as to catch any filling that leaks out.
Preheat your Barbecue Smoker to 250 degrees. Remove the cups from the refrigerator and place in the chamber closing the lid fully.
Smoke for 1-1.5 hour, increase heat to 275 and sear the outside of the bacon which helps to crisp the cups.
Glaze with barbecue sauce if desired and serve.