In a medium saucepan over medium-high heat, place a steaming basket. Fill all the way up to the bottom of the basket with water; bring to a boil.
When water is boiling, add clams, cover and steam for ONLY 4 minutes. Remove from the heat and transfer to a bowl to cool.
In a small skillet over medium heat, add bacon and butter; cook until brown but not crispy. Transfer the bacon to a plate lined with paper towels.
Return the skillet to the burner and add shallots along with roasted red peppers; sauté 1 minute before adding white wine. Cook until the liquid is reduced by 2/3rds. Add garlic and sauté for 1 minute; remove from the heat.
Chop cooked bacon into small pieces; set aside.
In a medium bowl, combine the roasted red pepper mixture, chopped bacon, breadcrumbs, freshly ground black pepper, cayenne pepper and 2 tbsp. grated cheese. Mix the ingredients until very well blended.
Preheat the oven on broil placing the rack about 10-inches from the heat element.
Separate clams from the shells and keep the deepest half as a cooking vessel. Place the shells in a baking dish covered with coarse sea salt.
Spoon the bacon mixture into each shell. Sprinkle a little cheese on top and then parsley.
Transfer to the oven and broil for 5 minutes or until the top is slightly browned. Serve immediately with lemon wedges.