Add about 2 heaping handfuls of alder wood chunks to water to soak for about 10 minutes. Fruit wood is also a good substitute.
Meanwhile, mix the olive oil, honey, vinegar, dill seed, chili powder, parsley and rosemary together in a medium bowl. Dredge the filets through the mixture to coat well on both sides and place in a plastic sack. Pour the remaining marinade in the bag and shake to coat the filets again. Seal and place in the icebox for at least 4 hours.
Clean and oil the smoker or grill well. Light about 3 heaping handfuls of wood or hardwood lump charcoal, until white and ashy. Make sure the coals are all on one side of the grill. Drain the water off of the alder wood and add on top of the coals.
Place the catfish on the indirect side of the heat. Shut the lid and let cook for about 45 minutes to 1 hour or until the fish is white and flaky. About 20 minutes into cooking, add more alder wood or fruit wood chips to create more smoke. You want to run the temperature of your grill/smoker around 225-250 degrees F.
Meanwhile, in a small bowl combine the mayonnaise, dill pickle, lemon juice capers, Worcestershire and horseradish. Cover and place in the icebox 30 minutes to 1 hour, or until chilled. Serve with catfish.