For a shrimp louie salad, most seafood counters sell pre-cooked shrimp, from tiny bay shrimp (perfect for a shrimp louie salad) to larger sizes to make it easy for you. To cook your own, buy whatever size shrimp you prefer and either broil, poach, or even grill the shrimp. Buy cleaned and shelled shrimp or clean and peel them yourself to save money.