Place the Oreo cookies in the fridge for at least 1 hour before preparing.
Cut ten slices of bacon in half. Wrap 1 half slice of bacon around each cookie and place on a baking rack, fold side down.
Lightly spray with cooking oil, then season with Bbq dry rub.
Place the bacon-wrapped Oreos on the pellet smoker and cook for about 1 hour at 275 until the bacon Is fully cooked.