If your shrimp with the shells on, you'll want to remove the shells for this recipe. You can remove the entire shell, or leave the tails on for a more elegant presentation. Remove the shells by peeling them off with your fingers starting on the side with the legs. If you don’t see a cut down the back of your shrimp, you may also need to devein them. Use a small knife to cut a slit along the back of the shrimp on the opposite side from the legs. Next, use the knife to remove the vein which looks like a dark tube running down the shrimp.