It's easy if you have a smoker or smoker grill.
I took a couple of cheap throwaway aluminum pans and poked holes throughout with a nail. Each of my pans holds 5 pounds so 1 may be plenty . Some people moisten the malt first, I don't.
Build a small fire with the wood of your choice. You want it smoldering so there's just smoke with very little heat. Smoke for an hour or so depending on how smoky you want it and how much smoke you're producing. Stir about every 10 minutes so all the malt gets coated with smoke. Let it sit in a paper bag for a week or so before you use it.
Here's a couple of pictures of my setup:
The smoker is open only for the pictures. The malt may not smell very smoky at first, but after a week it'll come out. Then you can decide how much you want to use.