Question: When should I apply barbecue sauce?
Most of the things we call barbecue sauce contains sugars. Sugars burn at a temperature of about 265 degree F. If you are cooking above this temperature then the sugars in a sauce will burn and add a bad flavor to foods. Since smoking is typically done at much lower temperatures then you don't have to worry about adding barbecue sauces to meats during their smoking times. You might get some caramelization of the sugar but it won't burn and it won't cause you any real problems.
However, the flavors you add to smoking meats should be controlled. Most true barbecue is served with barbecue sauce as a condiment and not as an ingredient. Make the most of your barbecue by allowing the diners to add sauce if they want and in the amounts they want. This of course does not apply to mops, sops, marinades and rubs that are used to flavor barbecue as it cooks. Thick barbecue sauces should be held off to later for the sake of flavor, but not because it will burn on the meat.