Start your Grill on ''smoke'' with the lid open until a fire is established in the burn pot (3-7 minutes). Preheat to 450F.
Take one slice of bacon, and wrap it around each piece of shrimp, and lock it in place with a wooden toothpick. Place the shortening into a mixing bowl, and whisk in the garlic and lemon juice. Brush each shrimp with the sauce on both sides. Place on the grill, and barbecue for 11 minutes. Turn the grill off, remove the shrimp, serve and enjoy!