Personal choice. I only buy live whole shrimp (would you ever buy dead lobster? Same scenario in my book), so my guests peel and devein to their pleasure. Especially if there is lots of spices coating the outside of the shrimp, which gets on your hands, which gets on the shrimp meat as you peel and devein.
When I lived in southern Lousiana we would have shrimp boils and crawfish boils and grill both of them - a large part of the fun was peeling and deveining the little critters and drink beer and talk and tell jokes.
You can devein a shrimp and still leave the peel on, but it is time consuming.
I do peel and devein before putting on the BBQ. You have to be careful not to overcook, though. Without the shell they cook very quickly. It's great that some people can buy live, head on shrimp but that's not an option everywhere. By peeling/deveining you can use a rub or marinade or brush on sauce during cooking. Good luck!
No way the charred shell adds such an amazing flavor when grilled. And as said before the residual spices and flavor on your fingers when peeling them is added bonus. Enjoy!
My ideal would be deveined but not peeled - the shell is sliced open in the back so you can get at the vein but you still have the shell mostly intact to keep the shrimp moist and tasty. Our Whole Foods sells the big shrimp this way some times. I just prefer not to have to remove the vein as I eat.
While I personally like to cook 'em with the shell on the barbie sometimes my guests do not like the "fiddle" of peeling i know one mans fiddle is another mans pleasure but sometimes to be a good host I will make them both ways then everyone gets their fab.
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