Not knowing which version of the probe you have, check and make sure that you can run the end of the probe up from the inside and out and plug in (make sure to not get any gunk on the end).
For me, I'd put the probe in while the meat is outside the smoker. Allows you to put the point (where it measures temp) in the right place.
Once it's covered with rub you just put it in the smoker and run the probe up and out.
If you do it the other way, you'll lose a lot of heat and likely not get the probe placed exactly where you want.
The #1 issue I hear talking to people is running the sensor too deep and sometimes even out the other side.