It is best to devein shrimp as it removes the digestive tract, which can be gritty (black) or gooey (orange). There are two ways to devein shrimp. One is to expose the back up by gently slicing along the curved back with a paring knife just enough to remove the vein and pull it out. The second way is insert a tooth pick at the second joint from the tail end a little way into the shrimp flesh and lift. This partially pulls out the vein, which you can completely pull out.