How to Make It
In a large baking dish, whisk the 1/2 cup of oil with the lemon zest, lemon juice, garlic and chiles. Wrap each shrimp with a piece of bacon and add to the marinade. Cover and refrigerate for 1 hour; turn the shrimp halfway through marinating.
In a bowl, whisk the ketchup, horseradish, shallot, vinegar, lemon zest and lemon juice. Season with salt and pepper.
Light a grill or preheat a grill pan; brush with oil. Season the shrimp lightly with salt and pepper. Grill over high heat, turning once, until the bacon is browned and the shrimp is just cooked through, 4 to 6 minutes. Transfer the shrimp to a platter and serve with the cocktail sauce and lemon wedges.