You'll probably want to skewer the shrimp on toothpicks instead, but you can absolutely cook bacon wrapped shrimp in the air fryer. Preheat the air fryer to 400 degrees, place the bacon wrapped shrimp in the air fryer basket and cook for 4 minutes. Flip the shrimp over and cook another 5 minutes. After that, baste with the barbecue sauce and cook each side another minute to glaze.