Mix together the soy sauce, brown sugar, oil, garlic and cayenne. Pour over chicken and toss to coat evenly. Place in the fridge to marinate for 1-2 hours.
After marinating, drain the chicken.
Cut around the bone close to the knobby end of the drumstick. Cut through the meat tendons and sinews and then press the meat down firmly to form a lollipop. Pull the skin and cartilage off the knobby end of the drumstick and clean it up with a knife or kitchen scissors.
Wrap a slice of bacon around the meat of the chicken drumstick. You should be able to wrap the bacon around twice.
Set the smoker to 250F.
Gently place the lollipops on the smoker rack so that the bacon does not unwrap.
Smoke the chicken for about 2 hours, or until the bacon is browned and the chicken is no longer pink and the juices run clear.