I've grilled these before. The shrimp will be well done, but the bacon offsets it quite well. You can't cook it crispy like some of you like it.
We cook a dish that's off the chain. Purchase some cherry clams. Freeze and cut in half. Take the clam and clean the mud out of its belly. Take the clams, and juice and run it for a few seconds in the blender. Scoop some of the mix and put back in one side of the shell. Fill about half way. Squeeze butter, salt, pepper a splash of Texas Pete, and a small piece of bacon on top. Grill on high heat till the bacon is to your liking.
Oh my God, much better than wrapping shrimp.
Don't use the large clams. Harder to cook in the half shell