Cook the bacon slices in a skillet on high heat.
Remove from the heat, chop the bacon into small pieces and set aside.
Remember to keep the bacon grease, for use later.
Heat some oil in a saucepan, and sauté the shrimp for a few minutes.
Add Cajun seasoning and mix well. Remove from the pan.
Add garlic, onion, red bell peppers, smoked paprika, and parsley to the empty pan.
Pour chicken broth on top. Cook for a few minutes.
Add the browned shrimp back, and cook for another few minutes.
Add milk, water, bay leaf, and salt to another pan, mixing well.
Whisk together cheese and butter. Stir well.
Combine the grit with the cheese mixture.
Place the grits in the bottom of a bowl or a serving plate. Follow by placing the Cajun shrimp on top.
Drizzle the bacon grease over your dish.