I usually boil them, cool them, crack the shells but leave on and then put them in my smoker for about 4 hours.
If you don't have a smoker you could try what ever grill you have if it is capable of smoking.
I have never heard of the other method of soaking them, but that doesn't mean much, there is a lot I haven't heard of.
bob
eta: My googlefoo was strong tonight, found this one in about 12 seconds.
SMOKED EGGS
Ingredients
8 large eggs
4 tablesp. soy sauce
2 teasp. sugar
1 1/2 teasp. salt
2 teasp. liquid smoke
1 cup white vinegar
Procedure
Boil eggs for five minutes. Cool completely and shell. Pierce each egg
once with a sharp knife.
Heat vinegar with soy sauce, sugar, and salt.
Place the eight shelled eggs in a quart jar and pour the warm liquid over
them. When the liquid has cooled, place jar in refrigerator and let stand overnight.
Next day add 2 teasp. liquid smoke and let stand at least 2 days before
serving. To serve, cut each egg in half. Serve cold.
Yields: 16 pieces
Tips:
The 5 minutes of boiling time is counted the time the water is boiling to
the time the flame is turned off. Be sure to start eggs in cold water. Eggs should be
brought to room temperature before boiling.
The eggs are pierced so that the flavor of the liquid and liquid smoke
will be fully absorbed. Liquid smoke is sold in fancy food stores
Also look here: look at the dark and spicy egg recipe.
http://cru.cahe.wsu.edu/CEPublications/eb1104/eb1104.pdf
bob