Preheat the smoker or grill to 300 degrees F.

Make the cream cheese filling. Combine softened cream cheese, shredded cheddar cheese, diced jalapeños, barbecue seasoning, and a few dashes of hot sauce in a medium bowl. Mix together well and set aside.

Cut the sausage into slices that are about ¼ – ½" thick. Be sure to cut the sausage straight down, not diagonally, because it's easier to wrap the bacon around if the sausage slices are not slanted. Cut each piece of bacon in half crosswise.

Wrap one piece of bacon around one piece of sausage, with one edge of the bacon lining up with the bottom of the sausage slice, to form a "shot glass". Overlap the ends of the bacon slightly. Insert a toothpick through the sausage slice and the two ends of bacon to secure the shot glass shape.

Scoop the cream cheese mixture into a gallon-sized zip top bag or piping bag. Twist the Ziploc bag into a cone shape so that the cheese mixture is in one corner of the bag. Use scissors to snip off a corner of the Ziploc bag. *Start off somewhat small and cut the hole bigger if you need to.

Pipe the cheese mixture into the sausage cups, filling them to just below the top of the bacon.

Cook the pig shots on the smoker or grill for 30 minutes at 300 degrees F. Then, turn the temperature up to 350 degrees F and cook for an additional 30-45 minutes, or until the bacon is crispy and the top of the cheese is slightly browned.

Remove the pig shots from the smoker or grill and drizzle with a thin barbecue sauce. Let cool for 10 minutes before serving.