As Grampy said, if you want to preheat, go ahead. Whatever works for you is good. I, however, don't preheat; here's why. Meat only absorbs smoke up to an IT of about 140 degrees F., and because I like a relatively strong smoke flavor, the longer I can keep the meat in the smoke before it reaches 140, the better, as far as I am concerned. So the time from when the wood starts to smolder to the time when it gets to the set box temp is pure gold to me. Hope that makes sense.
By the way, I'm smoking a strip steak for dinner tonight... no pre heating.