I've done it that way too. Taste and consistency doesn't suffer unless they're pinks. In fact, I usually end up smoking up some older fillets that I find at the bottom of the freezer.

Freezing the fish prior to smoking is also suppose to kill the parasites that may be in your salmon. I use the chief to smoke so they don't get too hot so the freezing makes sure the parasites are killed.
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"I'm having fish tonight!" -Bruce, the Shark from Finding Nemo.