They work in the cold smoke tube without an external heat or flame source. Fill the tube full of food grade smoking pellets and ignite the end with a torch. Let it burn for a minute and blow out the flame. A full tube will smolder four plus hours. It produces some heat naturally and the tube becomes very hot. The heat it produces is low temp in an area such as a grill or smoker. Ideal for nuts and cheese and anything similar you want to add a smoke flavor to but not actually cook. Cold smoke.I have seen the pellets but I thought they were only for those pellet grills.
If I were to use a cold smoke tube in my grill I would place it away from the coals or away from the cooker's heat source and let it smolder as designed.
For just cold smoking, I'd just put it on the grate along with my goodies and not fire up the grill.