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When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to 350 degrees F and preheat, lid closed, for 10 to 15 minutes.
Allow the cream cheese to soften. Mix cream cheese, chiles, shredded cheese, chili powder and Honey Hog thoroughly in a mixing bowl. Set aside. Slice sausage into 1/2-inch slices.
Cut bacon strips in half. Wrap bacon around the sausage, creating a bowl and secure with a toothpick.
Fill the bowl with the cream cheese mixture. Top with more Honey Hog BBQ rub.
Place the pig shots on the Traeger until the bacon is crispy and golden brown, about 45 to 60 minutes.
Remove the pig shots from the grill and cool for 10 minutes, cream cheese will be hot. Enjoy!
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