It is fun and rewarding to smoke your own malt. You don't have to get as fancy as I have with a cold smoking box. You can smoke a little over a rotisserie type deal or put the malt in a cardboard box and send smoke into it. The colder the smoke the better for me as it doesn't change the character of the malt as much as roasting over direct smoke, but if you are using it in a beer with some roast flavors it won't be too much of an issue.
If you do smoke your own you can use whatever wood you want. My favorite is pecan, but I've used citrus, maple, alder, beech, and some others. They're all good. In a barleywine I think pecan would be lovely, especially if you smoked Munich malt.