The Most Important Rule When Grilling Shrimp:
KEEP THE SHELL ON WHILE GRILLING THE SHRIMP!
That is all there is too it, well, there is more, but this is the most important. The shell keeps the moister in and this will keep it cooking the way that is should without drying out. We ended up melting butter into a small coffee cup and in another cup we put cocktail sauce. When the shrimp were finished we took them off the grill and let them sit for about 3-5 minutes and then peeled off the shell and ate them. It was so wonderful. I ended up drinking a Corona while drinking and that was fun. Just one beer since it is Monday and not the ideal day to throw back more than one beer. Both my wife and I took today off just to have a day together, to ourselves, and I love her so much!