You always have to use pellets yea, but if you are firing it up to a higher temperature there is little or no smoke as the wood is burning cleanly (Don't rule out smoking hamburgers, they are yum!). For steaks, my grill has a solid cast iron grate that is open to the fire pot below, with a removable shield, so I can really cook them over direct flame or how I typically do it is put them on the indirect side on low temp for 15 minutes or so, then fire the grill up to sear temp and then move them onto the grill side to sear in some nice grill marks.
The challenge with some of the cheaper wood pellet units such as the lower end Green Mountain or Traegar is that they don't have searing grills or get to a high enough temperature to sear meet, which is crucial for a good steak imo.
Here is a picture to see what I mean: