Soak wood chunks in water to cover at least 30 minutes.
Devein shrimp, if desired. Place shrimp in a shallow dish or large heavy-duty zip-top plastic bag. Stir together orange juice and next 4 ingredients; pour over shrimp, stirring to coat. Cover or seal, and chill 1 hour. Drain, reserving marinade.
Prepare charcoal fire in smoker; let burn 15 to 20 minutes. Drain chunks, and place on coals. Place water pan in smoker; add orange slices. Add water to fill line. Coat rack with cooking spray; place in smoker.
Place shrimp on upper rack; cover with smoker lid. Cook 45 minutes.
Bring marinade to a boil. Reduce heat, and simmer, uncovered, 5 to 7 minutes or until reduced by half. Serve with shrimp. Garnish, if desired.