I usually smoke (or roast for a different flavour) first and then dehyrate.
Time on a dehydrator will vary from pepper to pepper, and also depending on the humidity in the room you choose (Note: my room of choice is the garage... my wife and her burning eyes and throat helped in that choice)
Depends on the dehyradtor unit as well... I bought a cheap one from BPS which suits my needs just fine. Breaking down the pepper before hand will change the time necessary too... I have had peppers ready for powdering in as few as 4 or 5 hrs, where others in the same batch were closer to 12 or 14 hrs.
I usually leave the seeds in there unless I'm saving them for replanting, in which case, they are romved before any smoking, roasting or drying.
As for the smoke, I like milder smokes like cheerry, apple, or (my favourite) pecan.
I typically do small amounts of various peppers and blend them, but have also done "single pepper" powders when I have enough of them.