If you prefer not to fry your Bang Bang Shrimp you can certainly cook it in the oven or in an air fryer. Follow the directions below: To cook in the oven: preheat the oven for 400 degrees Fahrenheit and put aluminum foil, parchment paper or silicone mat on a baking sheet. Place the coated shrimp in an even layer and bake for 14 minutes. For a more even color, you can flip the shrimp after 7 minutes.  To cook in the air fryer: preheat your air fryer for several minutes to about 400 degrees Fahrenheit. Spray the fryer basket with cooking oil spray, put the shrimp in the basket in a single layer, and set the timer for 7-8 minutes. You may have to cook the shrimp in 2 batches so as to not overcrowd your air fryer. Air fry until the shrimp is opaque inside, flipping halfway through for even browning. To save time: You can also skip the breading process in this recipe by buying frozen popcorn or beer-battered shrimp and cooking it according to the package directions. Mix the sauce together before cooking the shrimp and coat it immediately after cooking it. Be aware the flavor may be different due to the coating on the prepared shrimp.