Pat chicken wings dry with a clean paper towel. Add wings to a large mixing bowl and toss with vegetable oil. Add rub and massage into the wings, making sure each wing is coated.
Add hickory wood pellets to the hopper. Turn on the smoker, open the lid and set it to the SMOKE setting. Heat on SMOKE, with the lid open, for 5-10 minutes, until very smoky. Add chicken wings to oiled grill grates, set smoker to 250 F degrees. Close the smoker lid and smoke for 2 hours 30 minutes or until chicken wings reach an internal temperature of 165 F degrees. Us an instant-read meat thermometer to ensure accurate cooking temperatures.
Change smoker setting to HIGH and baste chicken wings on both sides with bourbon BBQ sauce. Cook wings for 5 minutes, then flip them over and cook 3-5 minutes on the other side.
Select SHUT DOWN on smoker and remove chicken wings to a foil or parchment lined plate or baking sheet. Let rest 5-10 minutes. Turn the smoker off and unplug it.
Eat wings as is, or brushed with additional BBQ sauce. Dip in blue cheese or range dressing and serve with celery and carrots for a traditional experience.