To make sure your chicken legs get that nice crispy skin when they're cooked, its a combination of using oil on them (Olive Oil) and then using a BBQ rub with sufficient salt content.

You can also turn up the temperature on your pellet grill towards the end of the cook to get the chicken leg skin nice and crispy. Ideally, use direct-flame access if you're pellet grill has this function.

I wouldn't recommend trying to grill chicken legs at a high temperature (over 400 degrees) for the full duration of the cook though. If you do, its likely you'll burn the outside of the chicken legs before the center is cooked (over 165 degrees).

Check out this recipe for smoked chicken legs if you want an example to follow.