I also cold smoke cheese and find that vacuum sealing the cheese for at least two weeks gives the best results versus shorter times. We also freeze it once it is vacuum sealed for an awesome treat in the middle of summer.
I have cut the cheese ;) so that I only eat the center, and it still has a wonderful smokey flavor, so I believe that the vacuum sealing and time is what helps get the flavor into the inner part of the cheese.
As far as the kind of pellets that is best to use in a smoker tube or pellet grill doesn't make much difference in the flavor in my experience. I have been keeping a blog for a few years to help me remember and haven't noticed a difference in flavor no matter the brand or kind of wood pellet used.