Scrape, beard and wash mussels, and place them in a saucepan with finely chopped shallot, thyme, parsley and a bay leaf. Season lightly with salt and moisten with dry white wine. Cover saucepan and steam for 4 to 5 minutes, or until shells are well opened.
Remove mussels from their shells; dice unsmoked bacon and place mussels on small skewers with squares of bacon between them. Season