I do a variation for using a pan on top of the stove. I take the pits out of the dates and put the blue cheese in at home and pack them in a container (Freeze them if you can, the colder the better when cooking to keep the soft cheese from melting out). Fry the bacon a bit till it is still pliable but easily wraps around the dates. Let the bacon cool for about 10 minutes then wrap the dates, skewer with a toothpick and finish cooking/heating them on the stove until the bacon is crispy.
The colder the dates/cheese is the better. Try different cheeses and see what is best for you. The salty, sweet combo makes a great hors d'oeuvre at the cam site and will be a hit with your friends. For a vegetarian option, try MorningStar Farms Veggie Bacon. Cook it first before the real bacon and then prepare and finish them first. That keeps the vegetarian folks from having to deal with the real bacon crowd. The Facon (Fake Bacon) is really good but does need to be cooked for a few moments to make it more firm to wrap the dates. Cook one side only and wrap with the cooked side in and continue cooking the uncooked side out on the wrapped dates.