Personally, I do not like to use toothpicks to keep the bacon attached to the smokies. If you prefer to use toothpicks, as many other similar recipes do, by all means do so.
Empty the smokies onto some paper towels and blot them dry. Dry smokies will allow the bacon to adhere better. Place the dried smokies in a single layer (keeping them separated) onto a small cookie sheet. Place in the freezer for 45 minutes.
While the smokies are in the freezer, cut the bacon into thirds. Separate each piece of bacon and place on a large cookie sheet in a single layer. Put the bacon in the fridge for at least 30 minutes. The well-chilled smokies and bacon will help to keep everything from getting too slippery when you wrap the smokies later.
When it is nearly time to take the smokies out of the freezer, preheat the oven to 350F. Line a rimmed sheet pan with heavy-duty aluminum foil. Make the glaze by whisking together the brown sugar, maple syrup, mustard, and cayenne (if using). Whisk the mixture well to ensure that the larger pieces of brown sugar have broken up.
Wrap a piece of bacon around each smokie, pressing firmly on the final edge of the bacon to better ensure it does not spring open during baking. Try not to stretch the bacon when wrapping the sausages. Place the bacon-wrapped smokies onto the foil-lined sheet pan, seam side down. Continue with the rest of the bacon and smokies. Using a spoon, put a little bit of the thick glaze on top of each bacon-wrapped smokie, trying to coat each one evenly. You should have just enough glaze to do the entire batch.
Bake the smokies for about 35 minutes or until they are lightly brown on top. Immediately transfer the smokies to a serving plate or a slow cooker set on low to keep warm.
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