In a large skillet, cook bacon over medium heat until bacon is browned. Move bacon to paper towels. Keep bacon drippings.
In drippings, cook shallots and red pepper over medium heat until vegetables are tender. Cook about 5 minutes. Remove skillet from heat and let cool for 20 minutes.
In a small bowl, beat cream cheese and milk with an electric mixer at medium speed until smooth. Stir bacon and shallot into the mixture.
Spoon cream cheese mixture into a heavy weight plastic bag. Cut a small hole in one corner to squeeze the filling from. With small knife, cut a slit lengthwise into each pepper. Do not cut the whole way through the pepper. By squeezing the bag, pipe cream cheese mixture into peppers. Cover and refrigerate for up to one day