I had that same grill, and it's awesome. But what are you planning to use for power? Anything you'd want to use the pellet smoker for rather than good old open fire or charcoal is probably something you want to cook low and slow, I imagine. Do you have a big enough battery bank and inverter to run that for several hours w/o the rig running? As for mounting, a swing-out on the bumper would def be easiest. The Davy Crockett doesn't "look" all that big, but it's actually rather large and awkwardly shaped. If you were putting it on a slide-out with the welding blanket you mentioned you could at least reduce the legs, but you'll want some air-space under it either way, so it'll end up taking up a LOT of your rear storage space. Also, if you haven't used one before, be aware they put out a prodigious amount of smoke (which is a good thing) so I'd really, really want my rig closed up when in use vs. having it on a slide-out in the hatch that requires the hatch to be open (or you'll end up getting really, really hungry every time you drive it after the first use ;) ). So, like I said that brings up back to the bumper swing-out, which is actually a semi-common thing for people to setup on their RVs and Toy Haulers. The problem I see, is unless you make yourself a custom cover that fits very, very well and really closes up tight around the bottom your grill is going to end up loaded with dust, mud, water etc. from the trail. Obviously such a cover can be made, it's just something to think about.
-TJ
