i usually just do it on my grill--i direct grill it but i put some wood chips on the coals and then cover the grill. you could smoke/indirect grill it too, i just like the outside to be a little crusty from the direct grilling. hickory is great (it's one of my favorites).
as far as the soy marinade, the one i'm trying tonight is:
1/2 cup soy sauce
1/4 cup red wine vinegar
2 tsp veg. oil
2 tsp minced garlic
1 tsp dried oregano
pepper to taste
--boil the marinade and use as a basting glaze.
haven't tried it before--hopefully it will turn out good.
Wine in a box is better than no wine at all.