Adjust an oven rack 6 inches from the broiler and heat broiler. Line a broiler-pan bottom with foil and top with the slotted broiler-pan top.

Slice each piece of bacon lengthwise into two, long thin strips, then cut each strip into three short pieces ( you should have a total of 24 bacon strips). Spread the bacon pieces out over 4 layers of paper towels on a microwave-safe plate, then cover with 2 more layers of paper towels.  Microwave on high until the bacon fat begins to melt but the bacon is still pliable, about 1 to 2 minutes.

Meanwhile, place the shrimp in a medium bowl, sprinkle with salt, pepper and cayenne and toss to coat.

Wrap each piece of the bacon around the center of each shrmp and place on the broiler pan top, pinning thte bacon ends underneath the shrimp. Broil until the shrimp are pink and the edges of the bacon are brown,  spinning around thte broiler pan halfway through cooking, 3 to 4 minutes. Remove from oven and skewer the shrimp and bacon with toothpicks, transfer to a serving platter and sprinkle with chives.

Serve immediately while hot.