First of all there is the issue of deveining. Contrary to what some say you do not have to devein shrimp. As long as the shrimp are properly cooked the vein isn't going to cause any health risks. On the other hand it is more pleasing to remove it. The best method is to use a small paring knife to split the shrimp down the back and then pick out the vein. A little practice and you'll find it pretty easy. This opening in the shrimp that you create to remove the vein is the best place to apply flavor. Any seasoning needs to reach this part most. The skin of the shrimp prevents marinades and seasonings from penetrating the shrimp, but the open cut allows it to sink it.
Now you might notice that some shrimp has a certain smell to it. This doesn't necessarily mean that the shrimp isn't fresh enough. Actually almost any shrimp you buy so going to be frozen so do not trust anything that says the shrimp is fresh. If you buy unfrozen shrimp don't freeze it again. Refreezing is about the worse thing you can do to any kind of meat or seafood. The smell is probably iodine. Iodine is plentiful in the plankton that shrimp feed upon. To eliminate the smell, soak the shrimp for about 10 minutes in a mixture of 2 tablespoons of baking soda to 1 quart of water. Rinse in cold water afterwards. This draws out the smell and some of the iodine flavor that shrimp might have.
To properly grill shrimp it is best to place them on skewers no matter how big the shrimp. This makes them easier to control on the grill and easier to cook. There are several strategies to skewering shrimp. If you skewer them lengthwise you will reduce the natural curling of shrimp as they cook. This is good if you want your shrimp nice and straight. If you skewer each shrimp twice, once throw the top and then throw the bottom near the tail you will give the cooked shrimp a nice curved shape and make a more attractive kebab. If you use two skewers you will make a kebab that is easier to turn and hold onto the shrimp. As far as the cooking goes none of these really has an effect. The one thing to do is make sure you do not pack the shrimp tightly on the skewers. This will provide for more even cooking.
Shrimp are generally sold by weight and sized by the number of shrimp it takes to make a pound. So a 40 count shrimp gives you about 40 shrimp per pound. When it comes to portion sizes, if shrimp is the main course, plan on about 1/3 to 1/2 pound per person for shelled shrimp or 3/4 pound per person if the shells are still on. Which brings me to the final point. Grilling shrimp with the shells on will make them more difficult to skewer but helps them hold on to their natural shape better. However you will have the vein problem if you don’t remove the shells. Amongst many of the shrimp loving people of the world, it is considered a bad thing if you cook shrimp without the shells and without the heads. Shrimp that still have their heads are a better flavored shrimp. If you try it you’ll notice the difference. Of course, many people just don’t like the idea of a whole shrimp on their plate.
Now this brings us to the grilling. Shrimp are best grilled quickly but not over too high of a heat. This is especially true the smaller the shrimp. The worse thing you can do to a shrimp is to overcook it. If you are grilling small shrimp at high temperatures it will make it more difficult to get even cooking and to get them off the grill at the right time. Keep the heat about medium for your grill. You should be able to hold your hand over the heat for about 4 seconds.
Shrimp are done when the entire outside surface has changed color. There are a wide variety of shrimp and they do come in slightly different colors. Most shrimp you buy starts out gray, almost blue and turns pink as it cooks. Once the skin surface of the shrimp no longer shows any of its original color it is done. You need to remove shrimp from the heat the second it is done. Overcooked shrimp as a rubbery texture and loses a lot of its natural flavor.