Step 1: Soak enough toothpicks in water for all of the shrimp. Butterfly the shrimp by slicing down along the center back with a sharp paring knife. Remove vein.
Step 2: Cut cheese into small blocks about 2 1/2 inches in length. Place cheese in the open butterfly area of the shrimp along with a jalapeno on top. Wrap 1/2 slice of bacon around the shrimp, holding everything in place. Put toothpick through to hold together and place them in a shallow dish or bowl.
Step 3: When finished, pour Worcestershire sauce all over shrimp and let them marinate in the fridge for as long as you wish.
Step 4: Grill shrimp over white hot coals or on a preheated gas grill, but beware of flareups. Propane will usually flare more than a charcoal grill, but you want bacon to be fully cooked and crispy (the shrimp will cook quickly, so as soon as the bacon is to your liking, they're done)
Step 5: Best eaten right off the grill.
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