Halve the jalapeños and remove the seeds and white membranes. Mix together the cheddar, cream cheese, BBQ sauce, and a bit of Thunder BBQ Rub, then generously fill the jalapeño halves with this mixture. Wrap each jalapeño half tightly with bacon, making sure to pull the bacon snug so the cheese won’t leak out as it melts. If needed, secure the bacon with a toothpick. For extra flavor, sprinkle a little more BBQ rub on the outside. Cook indirectly on a preheated grill or smoker at 120–180°C, preferably with some smoking wood, until the bacon is crispy and the cheese is melted. During the last few minutes of cooking, glaze with BBQ sauce.