Fry bacon. Remove and crumble. Pour off some of the bacon grease and sauté onions and garlic in remaining drippings. Add sliced mushrooms and shrimp. Cook until pink. Add cayenne pepper and salt to taste. Add crumbled bacon and keep warm. Cook grits according to package directions. Stir in cheese until melted. Add a pinch of nutmeg and salt to taste. Serve with shrimp mixture on top.