They should be rubbed with oil or Italian dressing before cooking so that they don't dry out or stick to the grill. Most vegetables can also be grilled directly at higher temperatures but this is a different flavor than smoking. Rub with oil and reposition the husk and smoke for 1 hour. Rub with vegetable oil, season, smoke for 40 minutes. Rub with oil and smoke for 40 minutes.
Vegetables are easy to do in the smoker.
I put them on the grill at the same time the corn goes on. They are surprisingly delicious. Oh, don't forget to turn corn and carrots a time or two as they are grilling. I use a Weber Gas grill for these items. When I think the carrots are done, I just take one off, cut off a piece, and eat it.