The majority of recipes advise to cut off the heads and peel the shrimps before cooking. I think that this way a lot of flavor is lost.
So, my advise is: keep it as is, the whole thing.
You can also use peeled shrimps. You’ll save effort and time, but you’ll lose flavor. Anyway, is a good solution for a quick dish.
Cut the whiskers.
Clean the shrimps by removing the impurities they have under their head shell lifting the shell and leaving the water run over.
Devein them by pulling out the thin black vein from their back, keeping the shrimp in straight.
Rinse the shrimps.
In a saucepan put 1 cup water over high heat.
When the water starts to boil add the shrimps and cook for 2’-3’.
Drain the shrimps. Do not discard the liquid. Keep it aside to make the sauce.
At this point (if you want so) remove the heads and peel the shrimps (after they cool down).
Bring a saucepan over medium to high heat and pour the olive oil.
When the olive oil is hot add the diced tomatoes, tomato paste, ketchup, mustard. Stir to unite all the ingredients and add about the half of the liquid (the water in which shrimps were boiled), tabasco, salt and pepper. Stir again.
Reduce the heat to low and simmer for 15’.
Add the shrimps and some more liquid, if it is a need.
Simmer for 5’.
Add the crumbled feta cheese, stir carefully and let it simmer for another 2’.