I'm sure that a hundred people have a hundred different variations on their preparation, but I cooked the bacon in a skillet a little bit before I wrap the scallops - just enough to ender out some of the fat and cook it slightly, but not so much that that bacon becomes too crisp to bend without breaking. Then wrap the bacon around the scallops and brush lightly with some Italian dressing and put under a broiler for a few minutes until the bacon becomes thoroughly cooked and the scallops are done. Don't overcook the scallops or they'll become rubbery.
I'm sure that you could skip the broiler method and do the same steps by sauteeing them in a skillet.