I've prepared a similar appetizer that involved making a small cut down the back of a large or jumbo peeled shrimp and inserting a slice of mild jalapeno pepper before wrapping with bacon. I've found that by winding 1/3 of a bacon slice, starting at one end and finishing at the other end to achieve a single thickness, the bacon has a better chance of cooking adequately and evenly. To cook, I heat the oven temp on the broil setting, add the wrapped shrimp, cook for 2 minutes, turn the shrimp over and broil for another 2 minutes, then turn the oven off and allow the shrimp to finish cooking as the temp gradually decreases. By the time the shrimp begins to turn pink, the bacon will be cooked.
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