Wood pellets in a smoke box:

As long as they are designed for cooking/smoking (not treated wood pellets that you made yourself), no problem. If it were me, I would ignite a small portion and allow to burn for 5 to 10 minutes, blow out the flame, then add fresh pellets to the already burning portion (without smothering).

My initial assumption was that wood pellets have some sort of binding chemical that holds them together. But, further research shows that when the sawdust is extruded under pressure and some heat, the wood releases a polymer that resides within a plant's cell walls called lignin, which binds the sawdust together and keeps the pellets in shape.

Wood pellets are made from compacted sawdust and woodchips. These are byproducts from sawmills and other industries that use wood. The pellets are formed under heat and pressure, which releases natural plant lignin that holds the pellets together without glue or additives.

University of Maine Extension: What We Have Learned About Heating With Wood Pellets in Maine

In other words, it looks like the wood pellets are just made of wood. As long as it's all hardwood, originally, you should be fine for smoking with them. You might want to go out of your way to find pellets that are labeled as "food grade." How to proceed? Just like you would with hardwood chips, I'd think.

When I use hardwood chips to smoke on my gas grill, I will soak them in water for about 15 minutes, drain them, put them into heavy duty aluminum foil packets, slit the packets in several places, then, when heating the grill, have all the burners on, and put the packets on, as well. You can do something similar with your metal box. I've read in places that soaking the chips might be completely unnecessary (the moisture is driven out of the chips before they start smoking anyway, I believe is the reason).

When the grill is hot and the packets are smoking, I turn off all the burners but one (not in the middle), and turn that burner down to where it needs to be to maintain a relatively low temperature for the smoking process (adjusting that burner level to keep it in my desired range), with the packets all moved over the active burner, and the meat receiving indirect heat.

When smoking meats, I usually have the pan with the meat in it covered loosely with foil that has been perforated repeatedly with holes, so smoke can move in and around the meat.

The answer is yes - I have used the following technique successfully with wood chips, so I suspect it will work with pellets:

1. make a small (approx 6 in x 4 in) , flattish (approx 1 inch high) pouch out of aluminium foil

2. fill with pellets

3. seal by folding edges

4. poke a few holes for air flow/smoke escape on top and bottom

5. Place directly on the flame diffusers (those sloped things above the flames)

You may have to play a bit with the heat setting, as this is burner dependent, but a low to mid heat should be enough. Make sure that you keep the lid down while smoking. 30 min of smoking is usually enough to flavor meat well for something like ribs or chickens.

Look for A-Maze-N - Their products are designed to add smoke. I have a 5x8 "Maze" (it looks like one of those brownies pans that makes every piece have two hard edges) that lasts for close to 10 hours with a couple of handfuls of pellets. They also have models that work with sawdust.

If you're doing pellets, don't use standard furnace pellets. Always use food-grade pellets.

Using an A-maze-n maze, after adding the pellets, you need a torch to light it off. A good cigar lighter works as does a culinary kitchen torch.