Partially split each shrimp by making a cut lengthwise along top of shrimp, being careful not to cut all the way through shrimp. Combine sundried tomato oil, red wine vinegar and oregano. Pour 1/4 cup of the dressing over shrimp in resealable plastic bag; seal bag. Refrigerate 15 min. to marinate.
Meanwhile, combine remaining 2 Tbsp. of the dressing, the crackers, cheese, basil and garlic. Remove shrimp from marinade; discard bag and marinade. Stuff each shrimp with 1 tsp. of the cracker mixture; wrap in 1 slice bacon. Place on parchment paper-lined full sheet pan.
Bake in 350ºF-convection oven for 4 to 5 min. or until shrimp are cooked through.