I'd do one of two things and keep it simple. 1. Put the cover on it when not in use if you plan on using it a lot. and/or 2. If you don't plan on using it for a while just do what Greg does, take it a part and put it in your attic (or garage, or basement) for the winter if your worried about leaving it outdoors. I wouldn't mess with a canopy if you're looking to use it primarily for protecting your WSM. It doesn't need it. I've left my WSM outdoors for the last 5 years and they are very tough against the elements. You'll have more trouble keeping the canopy up with the wind and the rain and the snow in the winter and the WSM will still be standing come spring! Hope that helps.
Gomer just read your question a second time and I was a little bit confused. Were you planning on leaving the canopy up to protect the WSM or just when cooking? We use EZ -UP's for competitions and smoke obviously is everywhere there and it never has seemed to cause a problem with the canopy other than a little stain over time. The smoke should drift out and not be trapped inside the canopy. I don't think you'll have a problem. Where I see you'll potentially have a problem is that if you leave it up unattented the wind can get a hold of those tents and blow them away so I wouldn't look at this as a long term protection for your WSM. For that see my answer in paragraph 1. Sorry for the confusion.