Preheat grill to medium-high.
Peel and devein shrimp, if not already purchased this way.
Place shrimp in an aluminium baking pan, or a pan you don’t mind using on the barbecue. (If you want to add bacon to this version of the recipe, chop the cooked bacon first and sprinkle over shrimp along with other ingredients.)
Sprinkle the shrimp with 3/4 tsp. Diavola Spice Rub, and evenly distribute crumbled blue cheese and grated cheddar cheese. Drizzle lime juice over all and distribute remaining Diavola Spice Rub over the top of the lime juice.
Place pan on the upper rack of the barbecue and cook for about 5-8 minutes, or until shrimp is cooked through (pink) and cheese is bubbly and gooey. Serve hot!
If you don’t have an upper rack, you can cook the shrimp on the main grill, but reduce heat to medium. And, if you want to try this in the oven, (which we have not yet), bake at 450 ℉ for approximately 8-10 minutes.