If your shrimp come with the shells on, you'll need to remove them yourself. To peel shrimp, it's easiest to start at the bottom where the legs are attached and carefully pull off the shell with your fingers. You'll also need to devein your shrimp, which you can do by running a small paring knife down the back of each shrimp and removing the dark vein. If you've purchased pre-peeled shrimp you can skip all of these steps and just proceed with the recipe.