Place shrimps in a bowl and season with salt , pepper and balsamic vinegar. Refrigerate for 2 hours.
Heat water until hot and place slices of bacon by batches. Precook until transparent. Drain in paper towel.
Remove shrimps from refrigerator and wrap each shrimp with bacon. Secure with a toothpick. Cover shrimps and refrigerate until ready to use.
To serve: Heat oil in a skillet and fry shrimps for 2 or 3 minutes, approximately, or until cooked. Be careful not to overcook. Drain in paper towel. Top with Blue cheese, while hot, and serve immediately.