Cut A Small Slit On The Back Of Each Shrimp, Not Cutting All The Way Through. In A Large Resealable Plastic Bag, Combine The Salad Dressing And Orange Juice; Add Shrimp. Seal Bag And Turn To Coat; Refrigerate For 30 Minutes. Meanwhile, In A Large Skillet, Cook Bacon Over Medium Heat Until Cooked But Not Crisp. Drain On Paper Towels. Drain And Discard Marinade. Place A Piece Of Cheese In The Slit Of Each Shrimp. Wrap Bacon Around Shrimp; Secure Ends With Toothpicks. Moisten A Paper Towel With Cooking Oil. Using Long-Handled Tongs, Lightly Coat The Grill Rack. Prepare Grill For Indirect Heat With A Drip Pan. Place Shrimp Over Drip Pan And Grill, Covered, Over Indirect Medium Heat Or Broil 4 In. From The Heat For 3 Minutes On Each Side Or Until Shrimp Turn Pink.