Vegetarian Alternative to Bacon-wrapped Sausages?
I'm assuming your goal is to try and capture the main elements that make bacon wrapped smokies great: sweet, salty, meaty, and smoky. 

For a vegetarian finger food, grilled tofu would be my first choice. This recipe mirrors the flavor profile of the bacon wrapped smokies pretty closely: http://allrecipes.com/recipe/crispy-barbequed-tofu-slices/detail.aspx 

Straight up breaded, fried tofu is also very tasty and versatile (it is fried, after all), and you could serve it with a variety of dipping sauces.

If you're not a fan of tofu, mushrooms would be my second choice. Stuffed mushrooms that are grilled instead of baked would give you a nice subtle smokiness, and they are always a crowd pleaser: http://allrecipes.com/recipe/mouth-watering-stuffed-mushrooms/detail.aspx

And last but not least, I'm a big fan of grilled eggplant. This grilled eggplant and ricotta crostini recipe keeps a nice balance of sweet, salty, smoky, and rich: http://www.foodnetwork.com/recipes/anne-burrell/grilled-eggplant-and-ricotta-crostini-recipe/index.html