While the oven is heating, thoroughly rinse the shrimps with enough water. Dry them using a paper towel.
Season the shrimps with salt and pepper.
Place each slice of bacon on a chopping board and cut their lengths into halves. Take each of the shrimp and wrap with the strip of bacon. Use a toothpick to secure each wrap.
Place the wrapped shrimps on the baking sheet with the seam side facing down.
Allow the wrapped shrimps to bake in the oven for 15 minutes.