Before you cook jumbo shrimp in air fryer, you can peel and devein them. To peel shrimp, simply grab hold of the shell at the head end, and pull it off. If you can see a thick black or blue vein running down the shrimp's back, you can remove this, although you don’t have to. To remove it, slice down the back of the shrimp with a paring knife or a chef's knife, and then use the tip to pull the vein out.