Wrap each sausage with bacon. Secure with a toothpick.
Prepare grill for direct cooking. Cook the sausages on a grill pan on the BBQ for 8 minutes, turning frequently. Baste the sausages with BBQ sauce during the last 1-2 minutes of cooking.
Alternatively, baste the sausages and cook on a baking sheet in a 350°F oven for 20 minutes.