Cut each piece of bacon in half and put them on a baking sheet. Bake until just half cooked, about 4 to 5 minutes. Remove and set aside until cool enough to handle.
Hold 1 strip the roasted jalapeno in the belly of each prawn and wrap it with half a piece of bacon. Secure with a toothpick and season with pepper, to taste. Arrange the prawns on parchment lined baking sheet and bake until the prawns are just cooked, about 10 minutes.
Meanwhile make the cheese sauce by adding the cheese and cream to a glass bowl. Put the bowl over a pot of simmering water, being sure that the bottom of the bowl is not touching the water. Slowly stir until the cheese is melted into the cream and is fully blended.
Transfer the prawns to a serving platter and serve the cheese sauce alongside. Enjoy!