I use chicken thighs for competitions and this is my method.
Prepare your thighs as you normally would -- i.e. trim, brine, use rub, etc. Do whatever you like to do to prepare and flavour the chicken before cooking.
Set your pellet pit so that your grill temp is 250* (some folks will go 275 to 300*, that may be a little high, but you might find that 250* is a little low, you will have to experiment).
Place your chicken skin side up on the grill. Cook for 1 hour. Take your chicken off. Put the chicken in a steam tray and pour a little sauce over each piece. Cover tightly with aluminum foil, don't let any steam escape. Cook for another hour at 250*
Take the chicken off. You can spoon the juices from the pan over it again or dip in sauce. I then put back on the grill at about 300* for 5 to 10 minutes. This should give you bite through skin if that is important to you.