Today most shrimp are farm raised in Asia, and in recent years there have been some unpleasant revelations about conditions there, for both people and shrimp. If you can get wild shrimp from the Gulf of Mexico, you should.
As with so much seafood, flash-frozen shrimp will usually be of high quality; just defrost it in the fridge. So-called “fresh” shrimp has often been frozen and then thawed or traveled a long distance, and is not really fresh.
Shrimp are sold by the pound, and headless shrimp are measured by the number of shrimp per pound. Shrimp labeled “31/35” come 31 to 35 per pound and should be called medium, though they are sometimes called large. The size names can vary from merchant to merchant. Those labeled “16/20” are called jumbos, but I consider them large. U-12 and U-10 (meaning under 12 or under 10 per pound), are called colossal or super colossal.
Small shrimp can be tedious to clean, fall through the grates, and often get cooked through before they become dark on the outside. Large shrimp are easier to prep, easier to cook properly, and benefit from dark grill marks. I recommend 16/20 or larger for grilling.
Shrimp shells protect the delicate meat from overcooking, and because they contain chitin (pronounced KITE-in), which is rich in sugars, the shells contribute flavor to the meat. Shrimp absorbs more marinade than almost any other meat, but if you marinate with the shell on, the shell blocks much of the marinade from reaching the abdomen meat. If there are a lot of spices, herbs, or marinade on the outside of the shells, however, they get on your fingers and then on the meat as you eat. Your fingers become like brushes, acting as part of the seasoning process.
Some people even eat the shells, swimmerets, and tails if they are soft enough. They are tasty, covered with seasonings and smoke from the grill, and laden with nutrients. If you are a shell eater, snip off the point between the tail fins before cooking so it won’t lodge in your throat and interrupt dinner with a trip to the emergency room.
If you have whole shrimp, clean them by breaking off the heads at the point where the large solid shell, called the carapace, meets the smaller segmented shell sections of the abdomen. Then rip off the legs.
I recommend cooking shrimp with the shell on, but this is problematic because the digestive tract, called the vein, sometimes contains grit. The best of all worlds is to leave the shell on and still remove the vein, thus exposing more meat to seasoning or marinade.
The vein runs along the convex side, the back of the abdomen. Sometimes it is hard to see, especially if the shrimp didn’t eat much before being killed. When filled, it is often black. To remove the vein but leave the shell on, cut the shell with scissors along the center of the back all the way to the tail. Using a sharp paring knife, cut through the flesh until you see the vein (do not cut all the way through the shrimp—you don’t want shrimp halves). When the vein is exposed, slip the tip of your knife or fingernail under it and gently lift. It should all come out in one piece. If it breaks, repeat the action.
Some recipes call for butterflied shrimp. After you remove the vein, just extend the cut you made a little deeper—but not all the way through—and spread the two halves open.
When you’re done, rinse the shrimp to remove any sand or shell, pat them dry, and wash your hands thoroughly.
Before you grill, plump shrimp with a quick swim in a brine. They really soak it up, and the extra moisture counteracts the drying effect of the grill.
For each pound of shrimp, add ¼ cup kosher salt to 1 cup warm water in a bowl and stir until it has dissolved. Pour in 2 cups cold water and then add the shrimp. Let it soak for about 20 minutes—but no longer. Drain and pat dry before grilling.