Cut cream cheese into four lengthwise pieces. Place on a plate and freeze 30 minutes.
Meanwhile, cut sausage crosswise into 4 portions. To create a pocket, cut each portion, lengthwise, three-fourths of the way through.
Place cream cheese pieces in the opening of each sausage portion. Then stuff each opening with half of a jalapeño.
Wrap a slice of uncooked bacon around each stuffed sausage and secure bacon with toothpicks as needed.
In a charcoal grill, arrange medium coals around the edge of the grill. Place a drip pan in the center of the grill. Place sausage, slit-side down, on a grill rack over the drip pan. Cover and grill 25 minutes or until sausage is browned and bacon is cooked through, turning (to slit-side up) halfway through grilling.
Let stand 10 minutes. Cut each sausage into 4 portions and serve with toothpicks as appetizers.