1: Set up your grill for indirect grilling and heat to medium-high.
2: Lay the salmon fillets on a cutting board. Oil the bottoms to keep the salmon from sticking to the grill grate. Using a sharp paring knife, cut a pocket in the side of each salmon fillet. Slice the bagels.
3: Brush or scrape the grill grate clean and oil with vegetable oil. Place the salmon fillets in the center of the grill grate. Add 1 to 2 small wood chunks or chips to the coals or your smoker box if using a gas grill.
4: Smoke-roast the salmon until it reaches an internal temperature of 145 degrees on an instant-read meat thermometer.
5: While the salmon cooks, lightly toast the bagels. (Watch carefully; they’ll only need 1 to 2 minutes on the grill grate. Alternatively, use a toaster.)
6: Spread the whipped cream cheese on the cut sides of the toasted bagels. Place the sliced onion and capers on the bottom section of each bagel. Place the salmon on top of the onion and capers and then squeeze the lemon wedge over the salmon. Place the top of each bagel on the salmon and slice the sandwich in half. Or serve open-faced.
Optional step: Top the salmon with some of the caper juice.
