Preheat a saute pan on the stovetop over medium heat.
Add the bacon, onions, and sausage. Cook until the bacon starts to get crispy, stirring occasionally. (Make sure to start the grits a few minutes into this.)
Move the bacon, sausage, and onions to the back of the saute pan. Tilt the pan to get all of the bacon and sausage fat to come down onto one side.
Add the flour and stir into the bacon and sausage fat. Once it makes a nice paste, move the onions, sausage, and bacon back and stir.
Add the shrimp and fully cook them.
Add the heavy cream to the pan, stirring the whole time, and scraping the bits of brown from the bottom of the pan. Stir in salt and cajun seasoning.
Serve over grits.
Grits
Combine the chicken stock, heavy cream, salt, and white pepper to a saucepan and bring to a boil.
Whisk in grits, reduce the heat to low, and cook for about 10 minutes, whisking frequently.
Turn off the heat. Add butter and cheddar cheese, and stir until well-incorporated into the grits.
Put a lid on the saucepan and let the grits rest for at least 5 minutes.