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For that application, I'd peel them. It's a pain for guests to peel shrimp when their in a sauce.
Will you be using grits as a base for that? If so boil the shells to make a flavored stock to use in the grits. Another alternative if you don't use grits is use Israeli couscous, or creamy style polenta. Just use cornmeal and stock for the polenta which works just fine for that application.
It works very well as a under sauce for shrimp--but should be kinda of creamy and not the bricks of polenta something call for.
I was going to do polenta, and what a great idea to make a stock with the shells! Thank you!!
Sam 1148 is right--the chef peels and deveins before cooking both for ease of eating and so the shrimp absorbs the sauce. Shrimp stock just needs to be cooked very briefly (maybe a 10 minute simmer) and freezes very well. I like to reduce the stock to a richer broth and freeze, ice cube sized, to throw into fried rice, toss with linguini and clams, or even use to boost the shellfish flavor in a lobster salad.
There's a very good white table cloth resturant here that does something similar. With 'grits/polenta' as the under sauce surrounded by the shrimp with matchstick cut prosciutto ham and mushroom, sauteed together on top of the polenta (deglazed secondary pan sauce with the sherry and butter) and garnished with chives.
Q: What's the diffrence between polenta and grits?
A: About 7.50 a plate.