I too ran my pellets out this weekend while cooking a butt. Thought I had loaded enough but the joke was on me. Thank god for the app since I was fishing down the street. Ran home and loaded the hopper and it smoked like you wouldn't believe for about 5 minutes until it took off again. Delayed...
Pellets aren't very expensive. To me it sounds like a hassle just save a dollar or so. But if that's what you wanted to do, you could certainly turn the grill off for a few hours. Probably wouldn't take much time to get it back to temp for that last hour of cooking.
Yet another bucket vac guy here. I store my pellets in separate, labeled buckets. If I want to switch flavors I just suck the pellets into the correct bucket and refill with whatever I want. Takes but a minute to do.
If you are cooking steaks, etc. on high-heat then you wont get much smoke to speak of. Gotta set temps low to get smoke.
As Buckeye said above me, your cooking with wood so it wont taste like a gas grill.