Bacon-Wrapped Shrimp with Cocktail Sauce

Bacon-Wrapped Shrimp with Cocktail Sauce was pinched from <a href="http://www.foodandwine.com/recipes/bacon-wrapped-shrimp-cocktail-sauce" target="_blank">www.foodandwine.com.</a>
INGREDIENTS
SHRIMP
1/2 cup extra-virgin olive oil, plus more for brushing
2 teaspoons finely grated lemon zest
1/4 cup fresh lemon juice
6 garlic cloves, thinly sliced
6 small jarred or dried Calabrian chiles, minced
20 jumbo shrimp, shelled with tails intact
10 slices of bacon, cut in half crosswise
COCKTAIL SAUCE
1 cup ketchup
1/3 cup prepared white horseradish, drained
1 small shallot, minced
1 tablespoon red wine vinegar
1 teaspoon finely grated lemon zest
1 1/2 tablespoons fresh lemon juice
Kosher salt
Freshly ground pepper
Lemon wedges, for serving
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