Prep the shrimp. Cut a ¾-deep pocket into the back of each shrimp without slicing through.
Stuff. Spread or pipe about ½–1 tsp softened cream cheese into each pocket.
Add jalapeño. Tuck a thin jalapeño slice into each, then fold closed.
Wrap. Wrap each shrimp tightly with a half slice of thin bacon, overlapping slightly. Toothpick if needed.
Chill (optional but recommended). Refrigerate 20–30 minutes to set the bacon.
Cook using your preferred method:
Air fryer: 390°F, 4–5 min per side.
Oven: 400°F on a wire rack, 15–18 min; broil last 1–2 min.
Skillet: medium-high in a little oil, 3–4 min per side.
Grill: medium (~375°F), 3–4 min per side.
Glaze & serve. Brush or baste with sweet chili or BBQ sauce. Serve hot with extra sauce for dipping.