Should I prick sausages during cooking

I have neither cooked nor eaten kangaroo, but I think the information that it is very lean should be sufficient to answer this question. Smoking is a low and slow technique that is used to make tough cuts of meat tender. This works by using a low temperature to break down the tough connective tissues which makes the end result both tender and moist. This would not work with a lean cut of meat like a filet. You'd just end up with a tough piece of meat. So unless you really go after the toughest bits of the 'roo, I'd advise against smoking.

As ESultanik says in a comment, to attack the lean parts of the animal, treat it like any other piece of non-fatty meat (filet / tenderloin for example). Use a very hot grill and shoot for an internal temperature of rare to medium-rare depending on preference. The exact technique for cooking is up to you. I tend to do a two level fire for searing and then finishing, but the exact method depends on the type of grill, thickness of the cut, etc. If you would like some smoke flavor, you can throw some wood chips on while cooking like this and see what you get. The short time and frequency with which you tend the meat / open the grill may make this completely ineffective, but it's worth trying to see if you get some smoke flavor, if that's what you really want.

With any game I automatically think about avoiding overcooking as it is quite lean, however any sausage may have fat added to it to prevent it drying out, so a simple look at your sausage should tell you how much fat it has. If it is really dark with very little white in it then there's little fat and you need to make sure you don't overcook them, if there's a good proportion of fat then cook them as you would normally.

The best reference I have for cooking game is out of an app called BB Meat Master which says:

The trouble with game is that you don't know where it's been. Modern animal husbandry has eliminated many common foodborne illnesses and makes raised meat very safe but wild meat may have some diseases. For this reason some recommend that game be cooked to a minimum of 160F(71C) which is where all foodborne illnesses are wiped out, however with most game this will make it dry and unpalatable. You as the cook must balance safety and flavor/tenderness. When eating be sure to be on the lookout for metal shot or bullets.

To me there's no point in buying game if you plan to cook it until it's dry, so I aim to cook it to medium at 145F/63C at the most. It's hard to gauge with sausages, so with low-fat game sausages I'd brown them off and get them out pretty quick. As long as they're firm you should be ok.