Wash the plums and pat dry. Cut them open lengthwise and remove the stone.
Pour Madeira into a bowl and let the plums steep in it for 15 minutes.
Remove and drain well. Wrap each plum with a slice of bacon and pin with toothpicks.
Grill the bacon plums on the grill – possibly in a grill tray – on all sides until the bacon is nice and crispy.