This one is tricky. Shrimp are delicate and cook quickly on the grill. Our grilled shrimp recipe cooked them hot and fast, so they don't dry out. But the added layer of the bacon for these grilled shrimp acts as an layer of - literal - fat to keep the shrimp protected and help prevent them from drying out. Pro Tip: By skewering the shrimp, instead of using toothpicks to cook them individually, we are able to get a more consistent and even cook on all of the shrimp. It also helps to lock the bacon in place, keeping it wrapped snuggly around each shrimp.