Prepare marinade
Peel and devein shrimp, keep in ice bath until ready to use
Cover shrimp with marinade and refrigerate for 30-60 minutes
Push a skewer through the shrimp body to keep the shrimp straight, and not curled.
Halve and deseed the jalapeños.
Add a pinch of grated cheddar to each jalapeño half.
Lay the skewered shrimp on top of the cheddar.
Wrap bacon firmly around each skewer, and hold together with a toothpick.
Place all on a tray, and return to the refrigerator while you heat the grill.
Heat the grill to 450℉ over quality oak charcoal with mesquite chunks. When grill is hot, add the skewers to the grill.
Brush the skewered shrimp with barbecue sauce, and turn frequently until the bacon is fully rendered. There should be grill marks, and a lovely dark glazed look to the skewers.
Remove from the grill, and let cool for a few minutes. Remove the charred toothpicks and skewers before serving. Serve whole for hungry guests, otherwise slice into 1-inch pieces and serve with fresh toothpicks.