Steps:
- In a small bowl, stir together all the sauce ingredients. Cover and chill at least 1 hour. Before serving, let sauce rest at room temperature 20 minutes so flavors meld. Preheat oven to 375 degrees. Soak cocktail picks in water 30 minutes. Line a baking sheet with foil and coat with nonstick spray. Set aside. Put shrimp, lime zest and juice, chili powder, salt, pepper and oil in a bowl. Toss gently. Cover and refrigerate at least 15 minutes and up to 1 hour. Remove picks from water. Wrap each shrimp with half a slice of bacon and secure with a pick. Put skewers on prepared baking sheet and bake about 15 minutes, turning skewers about halfway through. Turn on the broiler and broil 5 minutes. Remove from the oven. Serve with dipping sauce
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