1: Place the bacon in a single layer between 2 pieces of wax paper or plastic wrap. Go over the bacon with a rolling pin to extend its length and reduce its thickness. Heat your oven or grill to 400 degrees. If using an oven, place the bacon slices on a wire rack over a foil-lined rimmed sheet pan. If using a grill, arrange the bacon directly on and perpendicular to the grill grate. Par-cook the bacon for 10 to 12 minutes, or until the fat has partially rendered and the bacon is beginning to brown. (It should still be pliable, however.)
2: When cool enough to handle, cut the bacon crosswise into halves or thirds; the pieces should be just long enough to wrap around the shrimp with little overlap.
3: In the meantime, combine the shrimp, olive oil, and the juice of 3 lemon wedges in a bowl. Season with salt and pepper to taste (about 1/2 teaspoon each) and toss to coat. Wrap each shrimp in a piece of bacon and pin the bacon using toothpicks.
4: Heat a grill pan over medium-high heat. Alternatively, set up your grill for direct grilling and heat to medium-high. Grill the bacon-wrapped shrimp, turning once with tongs, for 2 to 3 minutes per side, or until the bacon has crisped and the shrimp have turned pink and opaque. Serve immediately with the remaining lemon wedges. (Remind diners to remove the toothpicks before eating.)