It sounds like you cooked it too long, and additionally, the recipe may just be bad. If you managed to cook away all the liquid and end up with just wine-infused bacon, there was probably a point before then with a reasonable amount of liquid. Sometimes what people are going for with wine reduction sauces is really to have a lot of the wine flavor concentrated into some minced ingredients, with enough thickened liquid to hold it together a bit. If you crumble the bacon finely enough, and don't reduce away all the liquid, you might find you like it like that.
But it sounds like you're looking for more of a liquid sauce, and at the point when enough liquid remained, it was too thin. I'd might suggest just finding a more detailed, trustworthy recipe for a wine reduction sauce, and just adding in bacon (and maybe taking out some other ingredients).
Short of that, if I were going to try to do this without many extra ingredients, I'd:
- Save the fat that cooks out of the bacon.
- Crumble the bacon very finely.
- Keep plenty of liquid when reducing.
- Whisk together equal parts bacon fat and flour and cook until the flour turns a bit golden. (Basically, make roux with bacon fat.)
- Whisk the sauce into the roux and cook for a bit longer.
This is again a very fuzzy recipe. With the amount of fat bacon releases, you can definitly make more than enough roux to thicken plenty of sauce - depending on how much you reduce the wine and how thick you want the sauce, I'm guessing you'd only need a tablespoon or two of roux. If you feel you've lost too much of the bacon flavor, see SAJ14SAJ's answer for how to incorporate more of the fat without the sauce separating.
(In general, you have to be careful with vague recipes like the one you found - they'll tend to assume you know some things, so if you can't fill in the gaps yourself, it may be best to find a more specific one! And sometimes they're just bad recipes. That one tells you to fry bacon in olive oil, which is really suspicious - you don't need extra oil to fry bacon.)