Heat a barbecue or stovetop grill, or alternatively, preheat broiler. In a large bowl cover corn with milk and leave to soak 20 minutes.
Wrap bacon in a spiral around each ear of corn, lengthwise, stretching bacon to cover corn from tip to bottom; secure bacon at both ends with toothpicks. Place corn on grill and cook, turning occasionally, until corn is tender. Kernels should brown lightly but not blacken. Discard bacon slices before serving.