First, Wash and devein the shrimp. Next, if you have plastic gloves wear them before slicing jalapenos. Slice jalapenos length-wise making slivers, removing seeds and discarding them.
Take one shrimp and season with a pinch of old bay or favorite seasoning rub, optional salt & pepper to taste. Place a sliver of jalapeno in the vein cavity. Wrap 1 slice of bacon and wrap around shrimp, securing with a toothpick. Place on oven ready tray for oven or smoker.
Next, slather with your favorite bbq sauce, repeating for each shrimp. Cook in hot oven (abt 375-400') or hot smoker or grill for about 10-15 minutes.