1. Cut stems off peppers. Cut each pepper lengthwise down 1 side, leaving other side intact; remove seeds and membranes using a small spoon. Rinse peppers under cold water to remove any remaining seeds.
2. Stir together cream cheese and next 4 ingredients. Spoon cream cheese mixture into a zip-top plastic freezer bag. (Do not seal.) Snip 1 corner of bag to make a small hole. Pipe a small amount of mixture into each pepper, and wrap each with 1 bacon slice. Secure with wooden picks.
3. Light 1 side of grill, heating to 400° to 500° (high) heat; leave other side unlit. Arrange peppers over unlit side, and grill, covered with grill lid, 22 to 25 minutes on each side.