I've been wanting to make these and finally did for the late game last night.
I tossed the shrimp with Tobago Keys Peruvian Gold Grilling Sauce and mixed softened goat cheese with minced garlic, salt & pepper.
I didn't want to overcook the shrimp trying to get the bacon crisp, so I decided to go "low & slow" -- I cooked them indirect between ~250-275F for about 45 min. I also glazed them with the grilling sauce at the very end.
All of the pics are HERE