Prep your grill/smoker and set temp to 325°F. Prep wood chips per manufacturer's instructions. I used mesquite for this recipe.
In a large skillet over medium high heat, add the oil and onion. Cook for several minutes until softened and add the Worcestershire sauce, salt and cumin. Cook another 2 minutes. Set aside to cool.
In a large bowl mix together the ground beef, oats, milk, onion mixture, and pepper. Roll into golf ball size and place on a cookie sheet (makes between 16 to 20 meatballs). Place sheet in freezer for five minutes to firm up.
After 5 minutes, remove from freezer and roll each meatball in the flour to coat. Pan sear meatballs in oil until just browned.
Place skillet (I used cast iron) directly on the grill and close the lid for 10 minutes (See Note 1). Next, coat meatballs with your favorite BBQ sauce and place back in the grill/smoker for 15 minutes more.
Remove from grill and serve with sauce poured over meatballs.
Notes
1. If you don't have a cast iron skillet or one that can go directly in an oven/grill/smoker, use an aluminum pan or casserole baking dish.