To make the marinade, stir the steak sauce and whiskey together in a bowl. Pour the marinade into a resealable plastic bag and add the duck cubes. Seal the bag, turn once or twice to thoroughly coat the duck, and place in the refrigerator for 1 hour.
Preheat a grill for medium heat. Soak the toothpicks in a bowl of water at least 1/2 hour to prevent burning.
Remove the duck from the marinade, and discard the sauce. Wrap a piece of bacon around each duck cube and secure with a toothpick.
Cook the duck bites on the preheated grill until bacon is crisp and duck is no longer pink, turning once, 5 to 10 minutes. Place on a serving plate, cool slightly, and serve.