Who ever first thought of wrapping something in bacon is a genius. The trick to doing this right is finding the thinnest sliced bacon you can. You want the bacon to get crisp without having to cook the shrimp to death. The Oscar Mayer brand is a nice thin one, however if you can find a better smoked bacon like applewood or something, go for it. I find that making a sauce for these is entirely unnecessary. I mean, you got the bacon... hard to top that! When it comes to your shrimp, try to get wild shrimp as opposed to farm raised. You will taste the difference.