Combine chili powder and next 4 ingredients together in a medium saucepan and cook over low-heat until mixture starts to thicken. Add scallops and cook on each side until done. The mixture will start to cling to the scallop and form a thick layer. To make the layer even thicker, you can pour the scallops and glaze into a pan and broil them in the oven on low heat, rotating the scallops in the glaze.