With a sharp knife, slice the bacon lengthwise & place the half strips on a baking sheet to precook them in the oven. This should only take about 5 minutes as you want to slightly render the bacon but not cook it to a point where it isn’t still pliable.
Take most of the shell off of the shrimp, leaving the tails on & devein them. With a sharp knife, butterfly-cut the shrimp in half, being careful to split them but not cut right through.
Lay the butterflied shrimp on a work surface. Cut Gorgonzola cheese into sticks & place one inside each shrimp. Wrap the shrimp/gorgonzola in a bacon strip. I should mention, there is no simple way to do this. It just takes a bit of time & patience but they are worth it.
Place the bacon wrapped shrimp on a piece of foil paper & place on a baking sheet. Bake in preheated oven for about 10 minutes. If you wish, you can finish them under the broiler if you want crispier bacon.
Remove from the oven. On a serving platter, slide stuffed shrimp & any cheese & shrimp broth over a bed of Jasmine rice. Nice to serve with steamed broccoli.