In a bowl, toss the lamb chops in the pesto and make sure they are evenly coated. Cover with plastic wrap and place in the fridge for at least an hour to marinate.
Set the smoker to 250F using wood chips of choice.
Place the lamb chops on a smoker rack.
Smoke the lamb chops for around 2 hours or until the internal temperature of the meat reaches about 145F, which is a nice medium rare, or to desired doneness.
During smoking, make the sauce by adding feta, cream, oil, salt and pepper in a blender jar. Blend until smooth and creamy. The consistency should be similar to sour cream. If needed, add a little extra cream during blending to thin the sauce.
Remove lamb chops from smoker and serve with the creamy feta sauce.