Howdy - new member here - and an avid competitive home brewer. I actually just bought my Smokin-it #2, which just arrived this week, with the intention of using it to smoke my own grains to make beer that I can submit to competitions. I also have done a variety of research including recently reading an entire book solely on the topic of smoked beers, the history, and how to make them, and the bulk of the book discusses the methods used over in Bamburg to smoke grains and brew. I'm happy to help answer any beer related smoke questions you may have!
To give you a general idea of what they are doing over in Germany to make their smoked beer - think Schlenkerla (one of my favorites), they first aquire beech wood which they store and season for a year or longer on their property. They also have their own malting facility, so they take their own malt and as part of the malting process, they dry the wet malt using smoke from the beechwood. The grain is then allowed to condition (sit) for a period of months, and they then use it in their recipes.
You can actually already buy malt that has been smoked over in Germany - it's very easy to get - look up Weyermann Rauch Malt. They also make an oak smoked wheat, and another company makes a smoked cherrywood malt. However, we like to DIY right, so...
So... to pull this off at home, what you can do is take whatever malted grains you want to smoke - 2-row, german barley, etc... and buy some beechwood for smoking. Now, ideally we want to cold smoke the grain - if you hot smoke the grain you are likely going to toast it, which is going to change the flavor and color of the grain. When I try this, I am probably going to buy something like the Amaze-n pellet smoker and stick it in my Smokin-it, for a good cold smoking... Or you could try the Smokin-it cold smoke plate. You need to spread the grain out on some sort of rack with air flow - I'll probably make a pan out of wire mesh or something like that, and put the grains in it. You should wet the grains - I've read some people mist them with water, some give them a quick soak - it's really the moisture on the grains that is absorbing the smoke. Then smoke the grain for however long you see fit - try 1-2 hours and see where they are at.
Now - there are lots of other cool beers you can make that have smoke flavor - you don't just have to do german styles. Alaskan smoked porter uses alder wood - I actually did a version of it, and smoked grains with alder. You could experiment with other woods for smoked porter too - cherry wood, maple, etc... I just made a Piwo Grodziskie which is a rare historic beer from Poland that uses 100% Oak Smoked Wheat. At some point I will take a stab at making my own oak smoked wheat and see how it compares to the store bought - I personally didn't find the Weyermann brand to be smokey enough.
Anyway, hope this has been interesting!