I have done this many times and the bummer is the freight cost is sometimes as high as the pellets. Now I do things different. What I am going to say I never thought I would say. After going through pallets of BBQers Delight, Pellets.Com and other high end pellets I now use.....Traeger. Not just any but a special blend of Maple, Cherry and Hickory found only at Costco, $20 for 30 pounds. It is as good or better than anything I have used since pellet cookers came out.
The move of Traeger to Utah has been a great idea with all the new cookers and quality.