As others have said, there is no right or wrong answer. I do mine with high indirect heat, about 40-45 minutes at 400, usually with apple wood smoke. I like doing them indirect because you don't have to turn them, and there's a lot less risk of them burning. Since I'm usually making them as an appetizer for a party, I have other things going on at the same time, so a lower impact method is better for my needs. I find that doing them at a high heat still crisps them enough for my tastes.
Here's a link to my general technique, and a recipe for a really spicy buffalo sauce.