Meanwhile, add shrimp, olive oil, salt and pepper to a medium bowl; toss gently to coat.
When the grill reaches temperature, turn off burners in one area to create an indirect heat zone. Place bacon slices on grill over indirect heat, leaving a little space between each. Grill with the lid open, 5 to 6 minutes depending on the thickness of your bacon. It should still be pliable when you remove it from the grill. Transfer bacon to clean plate.
Close grill lid and reheat to 425˚F.
When partially cooked bacon slices are cool enough to handle (a few minutes after you remove from grill), wrap each slice of bacon around one raw shrimp and thread onto a metal skewer (or bamboo skewer soaked in water for 15 minutes or more). Repeat with remaining shrimp (4 to 8 shrimp per skewer depending on the skewer length), leaving a little room between each shrimp. Transfer to plate.
Grill shrimp over indirect heat with the lid closed, 4 to 5 minutes on each side until shrimp are pink and bacon is cooked through (8-10 minutes total). (recipe note #3) Transfer to clean platter or plate and serve with lemon wedges if desired.
Notes
If your bacon strips are very long, cut them into thirds crosswise instead of in half. You want the strips to be long enough to wrap the shrimp, but not so long that a large area of the bacon overlaps.
For thick cut bacon, increase par-cook time by a few minutes, until bacon is starting to crisp, but is still pliable. Do this on your grill or in your oven or in a skillet on the stovetop.
If you want a little char on your bacon, move skewers to direct heat for a minute or two with the lid open just before transferring to a serving platter.
If you don't have skewers, secure each bacon wrapped shrimp with a toothpick that has been soaked in water for at least 15 minutes. Grill individually over indirect heat, turning once with tongs, until shrimp are pink and bacon is cooked through.