^ Yeah - on a baking sheet is good. Directly on the grill would be a flaming, greasy mess.
My favourite way to do bacon, whether in the oven or on the BBQ, is to use a cookie sheet AND a cooling rack. The grease drips through and collects in the sheet and the bacon is nice and crisp on the rack. If you're feeling fancy you can glaze it with maple syrup nearer the end and then crack some pepper over it.
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