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Combine the Worcestershire sauce and the oil. Coat your fingers with the mixture and rub really well into the turkey legs, getting as much as you can under the skin. Sprinkle the dry rub over the skin, liberally rubbing into the turkey legs and under the skin. Place the legs in plastic bags and refrigerate.
Prepare the smoker for barbecuing, bringing the temperature to 200 to 220 degrees F. Remove the turkey legs from the refrigerator and let them sit at room temperature for about 30 minutes.
Re-warm the mop mixture over low heat.
Transfer the turkey legs to the smoker. Cook until the legs are very tender and the juices run clear, about 3 1/2 to 4 hours. Mop the legs at 45-minute intervals in a wood-burning pit, or as appropriate for your style of smoker. Serve the legs hot, to be eaten with your fingers, with a side of barbecue sauce.