Purchase Jumbo Shrimp, Peel all but the last segment of the tail. Butterfly down the center of the shrimps top side. Throw in a container with cold water while you finish the rest.
Slice the Jalepeno in small slivers. Spice the Shrimp on both sides, then lay with the Butterfly facing up. Place the cheese of choice inside the groove of the Shrimp and then lay the Sliced Jalepeno on top of the shrimp. Lay another slice on top to cover the Jalepeno.
Once you have finished, lay the bacon flat and place the Shrimp about 2" from the end. Grab the 2" piece of bacon and cover the open end of the Shrimp, now roll the shrimp and cover it completely minus the tail with the Bacon. Try to use the last piece of bacon to cover the open end of the shrimp to keep from losing the inside ingredients. Once this is done, spice the outer wrap with spices. Place a toothpick through the last end of the bacon to help keep it from unravelling.
Place the shrimp in the BBQ Pit, wait until the coals are white and there is no flame. The shrimp does not take long to cook, but should be ready once the bacon has turned brown and semi crisp.