Preheat oven to moderate (350 degrees).
Sprinkle the pheasant inside and out with salt and pepper. Place the bay leaf, garlic, celery leaves and lemon in the cavity. Tie the legs together with string and turn the wings under. Cover the breast with bacon and a piece of cheesecloth soaked in melted butter. Place the pheasant, breast up, on a rack in a baking pan and roast until tender, about thirty minutes per pound, basting frequently with melted butter.
Madeira Sauce: Remove the pheasant to a warm serving platter and add consomme to the pan. Stir over moderate heat, scraping loose the browned particles. Blend two tablespoons flour with two tablespoons butter and stir into the gravy bit by bit. When the gravy is thickened and smooth, add two to three tablespoons Madeira wine and the cooked pheasant liver, finely chopped.