I used to love cod roe as a child, but have only prepared it myself a couple of times, and then only from ready-cooked roe, pressed and canned. I spoke to the fishmonger and he advised me to boil it for about 15-30 minutes, after which it should be firm enough to to slice and fry.
This is cold smoking, not hot. The small mazelike device (the ProQ Cold Smoke Generator) is filled with wood dust (“today, I will be mostly using oak”) and set to smoulder with a small tea-light, which is removed once the dust catches. After that, it will produce smoke without heat for up to 10 hours.