Carefully clean the shrimp trying to leave the head, but removing the vein, and keep cold. Then cut thin strips of bacon and wrap only the central part of the shrimp with them. Thread the shrimp on the skewers, not too close from one another to allow the heat to pass. We recommend using two shrimp per skewers.
In a separate bowl mix the shallots with the bell peppers and season with salt and pepper. Add the sherry vinegar and mix, slowly adding the olive oil.
Heat a frying pan or grill and cook the shrimp one minute per side over high heat. Remove, arrange them on a plate and pour the vinaigrette over them. They are ready to serve!