Peel shrimp, leaving tails on. Devein shrimp.
Cut bacon slices in half, then wrap around shrimp and secure with a toothpick.
Heat grill to medium high. Place shrimp on grill and cook for 3-4 minutes per side, or until bacon is crisping up.
Glaze shrimp with thai chili sauce, allow to "tighten" for 1 minute, then flip over and glaze other side. Allow glaze to tighten another minute and remove from grill. Enjoy!