Preheat the oven to 350°F.

Arrange the bacon on parchment paper and cook until medium. Take it off the sheet pan and place it on paper towels to drain and cool. Once cooled, lay the bacon on the counter. Put a shrimp at one end and wrap the bacon around it.

Secure the bacon to the shrimp with a toothpick. Place the shrimp on an oiled baking sheet and brush BBQ sauce on both sides. Bake in the oven for 8 minutes.

Remove and serve with cocktail sauce or remoulade sauce.