No, I'm not poking fun here...but, I will throw some mesquite on the open fire...the big one that warms you, not necessarily the one you cook on...and it gives off a nice, earthy aroma.
"If" I use mesquite to cook on it will be after the open fire has burnt down to coals and I'll do a steak over it (ok, sometimes 'on' it) and it's great that way, but I wouldn't personally use it in a confined-box smoker. It overwhelms the meat. I admittedly have not tried Bob's suggestion of letting it smoke out a bit before putting the meat in the smoker...but similar theory to my letting it burn to coals on an open fire, so it might work.
Wood is cheap, especially in the amounts that the CS uses. Go buy 3 pound bags of everything and experiment. Don't worry about having to use up the mesquite...get what you like.