Preheat smoker to 225°F. Fill water bowl half way with orange juice and add Alder wood chips to wood chip loader or tray.
Cook grits according to package instructions. While still hot, stir in cream cheese, Velveeta, minced garlic, worcestershire sauce, paprika, mustard, pepper and salt into grits then add egg and stir. Place grits in a disposable aluminum pan and cover tightly with aluminum foil.
In a small heated pot, mix butter, Cajun seasoning, onion powder, and garlic powder. Stir well. Place shrimp in an aluminum pan then pour mixture on top of shrimp.
Smoke both pans for 45 minutes. Remove pans from smoker and drain off all excess butter from the shrimp pan. Note: It is important to drain off excess butter to keep the dish from being overwhelmed by the butter and smoke flavor.
Top grits with shrimp and enjoy!