Tips for cooking something "bacon wrapped"?

Yes you can. The term is called par-cooking.

Just fry it briefly in a skillet, drain, and wrap your item.

You can par cook the bacon as hobodave said. I find boiling it for a few minutes works nicely, as frying can make parts of it too crisp to wrap effectively. You can do it but it requires some attention.

Another method is to use less or use a very thinly sliced bacon. This is not always readily available. I often use pancetta from the deli, which can easily be sliced thinly and gives the same general flavor, though often not as smoky as some bacons.

The intensity of the heat is important, also. If I am bacon wrapping something I usually plan on grilling or broiling it. The bacon crisps and the fat that renders out during cooking has a basting effect on whatever you wrapped.

If you are baking, I would use your ovens broil element at the end to crisp up the bacon.

I ran into the same issue with underdone fatty areas. I now cut the bacon strip in two and wrap so that the lean is to the outside left and right, and the fatty parts (where the skin used to be long ago) touching in the middle.

After baking, I cover the done lean ends with foil and stick under the broiler to crisp the middle, turning once. It's a lot of work, but well worth it!