As far as I know there is only one brand that is actually labeled with the trademark "Liquid Smoke".
I have used it several times now, primarily with Goudas. But I have also used it in Havarti and Cheddar. The first time I added WAY too much to a Gouda. Fresh curd was just awful. However, after aging for 60+ days the smoke flavor mellowed considerably. Still not a great cracker cheese but it was a fabulous grating cheese.
I now pour off most of the whey and add 2 teaspoons of Liquid Smoke to the remaining curds & whey. I then scoop up the curds and press under whey as normal. I have thought about adding the L.S. in the beginning so it would be trapped in the curd matrix, but I'm not sure how/if that would effect curd formation.
I understand cold smoking but I don't have access to a smoker. When you're smoking meat, the smoke permeates throughout the meat. But it seems to me that smoke can't possibly penetrate as well on a hard natural rind cheese.
If you are doing a waxed rind cheese, Liquid Smoke seems to be the only practical way to get a smoke flavor unless you want to remove the wax, smoke, and then re-wax.