Prepare your charcoal for the grill (I'm sure this is good on gas too but the charcoal grilling was out of this world). Spray a 12x12 or so piece of heavy duty foil with cooking spray. When coals are ready, place a piece of heavy duty aluminum foil directly on the grill directly over the hot area.
Saute the mushrooms, shallots, garlic in the butter over medium heat until soft. Remove from the pan to a plate to cool at least 10 minutes.
(If you were trying to do the whole thing on the grill, I'm sure you could cook this mixture on a piece of foil also).
Run your finger up under the skin of each thigh to make a pocket. Divide the mushroom mixture into fourths and stuff each thigh with 1/4 of the mixture. This takes some patience, but starting at one end of the thigh, wrap 3 pieces of bacon to secure the mushroom mixture inside and try to wrap each piece of chicken in the bacon.
You can secure with toothpicks, but I didn't and it was fine. I just had to be careful when turning them over.
Grill on the foil, turning every 10 minutes. Fat will accumulate on the foil, allow this to happen for the first 30 minutes of grilling.
After 30 minutes, punch holes in the foil or remove it completely and allow the chicken skin side to have 10 minutes of direct grill contact.