WRAP each shrimp with 1 bacon piece. Thread 3 shrimp on each of 60 skewers (or onto each of six skewers for trial recipe); place in single layer in parchment-lined sheet pan.
BAKE in 350°F-convection oven 10 min. or until bacon is almost done. Brush with sauce. Bake an additional 5 min. or until shrimp turn pink and bacon is crisp.