Roll the bacon into its spiral and set it on end in a muffin tin to bake. You can use the toothpicks as "spacers" to keep the edges apart, and then easily pull them out the side once everything is baked. (Depending on how tight and broad you want the spiral to be, you may need to use a mini-muffin pan instead.)

You may also want to add a light coating of brown sugar before shaping the spiral to help the bacon hold its shape. It should caramelize while cooking and help achieve a crispy and stiff shape. Plus, it's yummy!