Many of us grillers already use hickory and other woods in our grills.  The rule is to soak the wood ahead of time so that it produces more smoke and does not flame up.   That is not possible for us much as we usually decide to grill at the last minute.

I have used several different forms of wood boxes to put in the gas grill.  In our last move we sold our grill and when we picked up the new grill they did not have any wood smoke boxes at the store.   It was a new grill and I wanted to use my hickory chips.  

I grabbed a can (pineapple ring can to be exact :) ) and put some wood chips in it.  Then to keep it from flaring up (wood chips dry) I put some balled up aluminum foil inside the can on top of the wood chips up to the top of the can.  This took the air gaps out of the can and made the chips smoke more than burn.  Then I covered the can with a piece of foil and poke a few holes in it.  I put the can were the bottom was in the flame and the top was way above.  Works great.

If it should happen to flame up on top, I just blow it out.  As long as the top is away from the flame and you do not experience a flare up in the grill, it should just smoke and it is a inexpensive wood box :)