Trim and discard tough or discolored stem ends from mushrooms. Sprinkle mushrooms lightly all over with salt and pepper.
Lay a sage leaf over the top of each mushroom, then wrap mushroom and sage leaf with pancetta. (If using regular bacon, cut each strip in half to form two shorter strips, and wrap each mushroom with a short strip.) If desired, leave tip of sage leaf protruding from wrapping. Spear mushroom with a toothpick, securing outer end of pancetta and leaving toothpick protruding to use for serving. Evenly space wrapped mushrooms in a 10- by 15-inch nonstick baking pan.
Bake in a 400° regular or convection oven until most of the pancetta is crisp and browned, about 25 minutes (see notes). Serve hot, leaving toothpicks in.