Camarones rellenos (AKA barbequed cholesterol)

You need big shrimps. Make a "C" with your thumb and forefinger. If the shrimp (head off but tail on) isn't clearly bigger than that "C" then it isn't big enough. Devein the shrimp and leave a large slit up the back of the little devil. Cut some wedges out of a big spanish onion and cut some slices of cheddar cheese. The wedges should be roughly 2/3 the length of the back of the shrimp and the cheese should be similarly sized. Lay a slice of bacon on the counter, lay the shrimp on the bacon, stuff some onion into the slit up the back of the shrimp, lay some cheese on top and then wrap the bacon tightly around the whole works to hold it together. You may need to tie everything together with a toothpick. Barbeque the rellenos until the bacon is cooked.