One of the first things I changed when switching to pellet cooking was unless I'm grilling, I do NOT preheat the grill. I leave it off until the food is on. This helps the smoke profile in two ways; it takes advantage of the extra smoke during startup, and it delays the outside of the meat reaching 140 degrees, thereby extending smoke absorption. The smoke is always clean on a pellet grill, even during startup.
I know this flies in the face of conventional wisdom, but most grills/smokers are preheated to get temps settled in. This is not necessary with a pellet cooker, since it's thermostatically regulated.