Soak the dried plums overnight in water with the lemon slice. Drain and pat dry.
Combine the celery, artichoke hearts, cream cheese, lemon juice, salt, and cayenne. Stuff the dried plums with the mixture. Cut the bacon slices in half. Wrap a slice around each dried plum; fasten with toothpicks. Grill until the bacon is crisp, 4 to 5 minutes on each side.