In a large cast-iron skillet, combine olive oil, butter, garlic, bay leaves, and thyme. For a charcoal grill, place skillet on the rack of an uncovered grill directly over medium coals for 3 to 5 minutes or until butter melts, stirring occasionally. In a medium bowl, combine sherry, paprika, Worcestershire sauce, and kosher salt. Add shrimp. Toss to combine. Add shrimp mixture to the hot skillet. Add hot sauce (if desired), diced tomatoes, crumbled bacon bits (from bacon slices), and cream to shrimp while cooking. Cook and stir shrimp for 3 to 5 minutes or until shrimp are opaque. (For a gas grill, preheat grill. Reduce to medium heat. Place skillet on grill rack over heat. Grill as above.)
Remove shrimp and sauce mixture from heat. Place on top of a bowl of quick cooking grits. Grits should be made according to instructions, adding in half and half, butter, cheddar cheese, salt, and pepper. Garnish the bowl with freshly diced green onions and parsley. Have your guests remove the shells, if present, from the shrimp as they eat them. Serve with lemon wedges. Makes 8 servings.