Cook bacon slices 3 to 4 minutes or until translucent.
Combine flour and next 4 ingredients in a shallow dish. Beat together milk and egg in a small bowl. Roll scallops in seasoned flour, shaking off excess. Dip scallops in egg mixture, then coat with bread crumbs.
Wrap each scallop with bacon and secure with a toothpick. Place scallops on a lightly greased baking sheet. Bake at 400° for about 30 minutes or until bacon is crisp and scallops are cooked. Serve hot with Remoulade Sauce.
Remoulade Sauce: Mix together all ingredients in a quart jar; shake well and chill 45 minutes.