You can reheat bang bang shrimp is in the oven. Preheat to 350 degrees Fahrenheit and place on a baking sheet lined with parchment paper. Bake for 10-12 minutes, or until the shrimp are heated through. 2. Reheating bang bang shrimp in the microwave is done when you place pieces in a microwave-safe dish and heat on high for 1-2 minutes, or until heated through. 3. This is how to reheat bang bang shrimp in air fryer - Preheat to 400 F for 5 minutes, spray basket and lay pieces inside in a single layer. Heat for 1-2 minutes, flip over for 1 more minute.