Preheat the oven to 400 degrees F.
Arrange the bacon on baking sheet and bake until half-cooked, about 6 minutes. Let cool and cut each slice into thirds. Reserve the baking sheet¿don¿t drain the fat.
Stretch 1/3 of a bacon slice tightly around the center of each shrimp, and secure with a toothpick. Arrange the shrimp on the reserved baking sheet and bake until just cooked through and the bacon is crispy, about 6 minutes more. Immediately transfer the shrimp to a bowl and gently toss with the hot sauce.
To serve, pour the blue cheese dressing in a bowl and place in the center of a serving platter, surrounded by the shrimp, celery sticks, and lemon wedges.