In a frying pan, cook bacon 4 minutes on each side. It should be cooked, but not crispy. Remove bacon and drain.
Cut 4 of the bacon slices in 3 equal pieces for garnish. set aside. Chop the remaining 2 slices and set aside. Clean mushrooms and remove stems. Set caps aside, but chopp stems. Set aside.
Chop shrimp. Set aside.
Combine chopped bacon, stems, shrimp, and cheese with garlic and cayenne. Fill mushrooms with mixture. Top with bacon piece.
Reheat frying pan on medium high heat. Place mushrooms in hot frying pan. Cover, reduce heat to medium low and cook until mushrooms are tender, about 15 minutes.