JALAPENO BBQ Sauce: Cook ingredients in saucepan on medium heat 15 min., stirring occasionally. Set aside.
SHRIMP & Grits: Wrap each shrimp with 1 bacon slice; secure with skewer. Grill on medium heat until bacon is about half cooked, turning once. Transfer to sheet pan. Bake in 375ºF standard oven until shrimp and bacon are done.
FOLD cheese into grits.
FOR each serving: Spoon 2 Tbsp. Jalapeno BBQ Sauce into bowl; top with 1/2 cup cheese grits. Brush 1 wrapped shrimp with about 1 Tbsp. Jalepeno BBQ Sauce; place on grits.