This recipe I found in the "The Barbecue Bible", by Steven Raichlen. This appetizer has advantage over deep fried versions by heightening the flavor and reducing the fat. Note: skewers or toothpicks should be soaked for one hour in cold water before grilling.
Peel and devein the shrimp(if not already done). Trim off the greens from the scallions, reserving them for another dish, then trim off the roots; you should be left with 2-inch sections of scallion white. Cut the bacon strips crosswise in half.
Nestle each scallion white in the curved hollow of a shrimp, then wrap in piece of bacon and secure with a bamboo skewer or toothpick by running the skewer or toothpick through the wrapped shrimp.
When ready to cook, arrange the dim sum on the hot grate and grill until the shrimp are firm and pink and the bacon is crisp, 2 to 4 minutes per side, turning once with tongs. Serve immediately.