Based on some experience with other things, instead of using toothpicks, I'd use thin, round metal skewers. Yes, they might conduct heat to the puncture location and cause some slight uneven-ness in cooking, but they have a couple of advantages:
- Food doesn't stick to metal as badly as it does to wood.
- The handle at the end allows you to try to spin it before you pull it out.
I actually recommend spinning the skewer as you pull it out. Being a sheet, the bacon is stronger against rotational forces than it is against axial forces. By spinning the skewer first, then pulling, you're only dealing with dynamic friction as you pull, not static friction.
I admit, I've never tried this exact situation before, but the spinning trick really helps at conferences when you're pinning up posters, as it keeps you from needing to hold the display board as you're inserting push pins. (although, T-pins at an angle work even better, hold better, and pack up much smaller)
I would also stick to 'thick cut' bacon and remove the skewers when the bacon is firm but still slightly flexible.
.... and if that didn't work, I'd try to make a spiral form using some of the aluminum flashing that I have laying around from another project. (although I have no idea if it's coated with anything that might not be food-safe... I guess I could wrap it in aluminum foil, too ... maybe even get some of the 'release' foil.