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Preheat the air fryer at 390 degrees F for 5 minutes while you prep the shrimp.
Cut the bacon slices in half and tightly wrap around each piece of shrimp. Arrange on a cutting board or baking sheet covered with parchment paper.
Chill for 10-15 minutes to set the bacon.
Mix the rub ingredients and gently toss each bacon-wrapped shrimp in the rub and place back on a parchment-covered sheet.
Arrange them in one layer in the air fryer basket and leave space between each piece.
Air Fry for 5 minutes, flip the shrimp, and air fry for another 4-5 minutes.
Remove to a plate with paper towels while you cook the remaining shrimp.
Serve with chili sauce.