If you already own a grill that has a "chimney" type exhaust pipe, you can cold-smoke grain. Procedure also works great on peanuts.
1.Get a new, non-linty dryer exhaust hose and run one end all the way down the pipe.
2. Run the other end into some sort of mostly closed box. I built mine out of old popcorn tins, but you could use wood or cut a hole in the top of a plastic bin or whatever. Don't worry if a lot of smoke comes out of the cracks; the grain will get its share.
3. Find a way to arrange the grain inside box so that it's not in one big pile. Surface area is the key. Window screens, pasta strainers, etc...
4. Build a fire with your wood of choice and close as much of the grill as you can without starving your fire of oxygen. As long as you have a smoky fire going, this would be a good time to throw some meat on the grill.
I smoked mine for an hour or so; the grain never got appreciably hotter than outside temps. A month or so after smoking, I used about a pound per gallon in my recipe; the smoke is noticeable and pleasant, but not harsh or overpowering.
