Open Oreo pack and a pack of bacon. Separate each Oreo. Separate each strip of bacon, cut if extra long. Wrap each piece of bacon around an Oreo and put a toothpick through each before setting aside.
Heat up canola oil in a skillet. Gently place each bacon-wrapped Oreo in oil. Fry until bacon is crispy.
Set each cookie on a platter with a paper towel on it to cool and shed extra oil.