In a small bowl, whisk ketchup, mayonnaise, and mustard until blended, refrigerate until ready to use.
In a large bowl, combine ground beef, Worcestershire sauce and Montreal steak seasoning. Do not over mix. Shape ground beef into four 3/4-inch-thick burgers. Wrap each burger with 2 strips bacon, perpendicular to each other.
Place burgers on hot grill rack; cook 10 to 12 minutes for medium or until desired doneness, turning over once. During last 2 minutes of cooking burgers, place rolls, cut sides down, on grill rack and heat until lightly toasted. Serve burgers on rolls with onion, tomato, lettuce, and mayonnaise dipping sauce, if desired.