Get your pellet smoker going to 275-300 °F.
Place the bacon on the grill for about 15 minutes to make it a bit easier to wrap it around the doughnuts and also help it get crispier without over cooking the doughnuts later.
Examine all the doughnuts to check if the hole seems to small. If so, use a knife or your fingers to make the hole a bit bigger.
After 15 minutes, take the bacon off the smoker and start wrapping around each doughnut. This usually will take 2-3 bacon strips per doughnut.
Use toothpick to secure bacon if necessary.
Add a small amount of your favorite rub (or salt and pepper) to bacon.
Put the doughnuts on smoker at 300 degrees until bacon is crispy. Should take 30 to 45 minutes.
Remove the doughnuts from the smoker and let them cool a bit while covering with the caramel drizzle (or your favorite syrup).