In a large skillet, cook the bacon over medium heat until the bacon is golden brown. Move the bacon to paper towels. Save the bacon juice.

In the cooking juice, cook the shallots and red pepper over medium heat until the vegetables are tender. Cook for about 5 minutes. Remove the pan from the heat and let cool for 20 minutes.

In a small bowl, beat the cream cheese and milk with an electric mixer on medium speed until smooth. Stir the bacon and shallot into the mixture.

Pour the cream cheese mixture into a thick plastic bag. Cut a small hole in one corner to extract the filling from it.

With a small knife, make a cut lengthwise in each pepper. Do not cut the pepper entirely.

Squeezing the bag, pour the cream cheese mixture into the peppers.

Cover and refrigerate for at least 1 hour, up to a day.