Cut the cheese into 1-inch thick blocks. Arrange the blocks on a baking rack or heat-safe cooling rack.
Fill the smoke tube with apple wood pellets and place it onto the grates.
Light the pellets in the tube and wait about 10 minutes. Ensure the pellets are burning continuously and emit clean, steady smoke.
Transfer the rack with the cheese to the grill grates of your Z-Grill. This recipe does not involve turning on the grill. Instead, it is used as a vessel to cold smoke the cheese.
Close the grill’s lid and cold smoke for 1 hour.
Open the grill, flip the cheese, and close the grill again—cold smoke the cheddar for another hour.
Remove the smoked cheddar cheese from the grill, let it sit at room temperature for an hour, then use as desired or store it.