Preheat grill to medium-high, 425˚F. If using wooden skewers, soak in water for 30 minutes, or use metal skewers
Add scallops, olive oil, salt and pepper to a medium bowl and toss gently to coat
When the grill hits 425, turn off burners in one area to create an indirect heat zone as to minimize grease flare ups. Arrange bacon slices on grill over indirect heat, leaving space between each. Grill bacon with the lid open, 5 to 6 minutes depending on the thickness
Move bacon to a plate once done and turn burners back on to re-heat back to 425˚F
When partially cooked bacon slices are cool enough to handle, wrap each slice of bacon around the edges of one raw scallop and put it onto a skewer. Repeat with remaining scallops, leaving a little room between the 3 total scallops on each skewer
Brush grates lightly with oil before cooking scallops over direct heat, 3 to 4 minutes on each side until they are just cooked through and bacon is crisp. Serve with lemon wedges
Notes
Depending on the size of the scallops you may want to wrap them with a full strip of bacon