Preheat oven to 350°. Line a rimmed baking sheet with foil. Top with a wire rack; spray with cooking spray. Soak wooden picks in water 30 minutes.
In a small bowl, whisk together chili sauce, cola, honey, Worcestershire, vinegar, and hot sauce. Reserve half of mixture.
Cut bacon slices in half width-wise. Wrap sausage slices with bacon, securing with wooden picks. Brush with remaining half of cola mixture (discard excess). Place sausage on prepared rack.
Bake until browned and crisp, 18 to 20 minutes. Serve with reserved cola mixture.