To peel and devein shrimp, gently twist to remove the head if it's still attached. Next, go underneath, where the legs are attached, and dig your thumb under the shell to help it release. Tug gently to remove the tail. To devein the shrimp, lay the shrimp down on a flat surface and run a paring knife along the back. Try to avoid cutting too deep. Pull out the thin grey vein. For shrimp with a tail, remove the shell as you did previously but leave the last segment attached, and then devein.