Be sure to choose firm mushrooms with good "wells" for filling. Remove the stems and scoop out the dark gills. Wipe the caps clean.
Dice 1 pat of butter, for each mushroom and sprinkle inside caps. Sprinkle a few dashes of worcestershire sauce into each cap.
Carefully spread cream cheese into each cap about 1/4 inch thick. Spread to edges and create a "seal". Sprinkle one slice of bacon on each mushroom and cover each with a handful of shredded cheese. Using your hand, gently pack down shredded cheese.
Place each mushroom on a hot grill, out of direct flame. Grill for about 5-7 minutes, until cheese is melted and mushrooms just start to soften. Remove and serve immediately.