Prepare your smoker for barbecuing, bringing the temperature to 180°F to 200°F.
Toss the shrimp with the lemon zest and juice. Wrap each shrimp with bacon, covering the sides of the shrimp pretty thoroughly, and then skewer the wrapped shrimp on a small bamboo skewer. Place on a small grill rack or on the cooking grate and smoke until the bacon is cooked throug