Here's my method:
1) I slice them in half length-wise, because a whole pepper is too much for some people to take. I also think this improves the balance of the different flavors.
2) Squirt a little honey in there first! (I just starting doing this a few months on someone's advice. The best.)
3) Half cream cheese/half shredded cheddar & Colby--or cheddar and Monterey Jack. (They sell them in these combinations.) You don't have to machine blend, but if using a wooden spoon or such, get to room temperature.
4) Wrap in uncooked bacon, which will cook just fine regardless of the cooking temps. For bacon, I get a cheap brand that doesn't even say it's smoked, although I think that's impossible. I do this because I'm using smoke anyway to cook 'em.
5) I use shallow aluminum pans, so the fat drippings from the bacon STAY there and add flavor to all of the peppers. But I transfer to clean pans or plates for serving.
6) Sprinkle liberally with rub.
7) All of the above mentioned temps work--it's pretty impossible to screw up--and I use hickory. And as said above, surprisingly, cream cheese doesn't ooze like "normal" cheese.