Grill Time Grill Time Photo provided by Gulf Coast Seafood-- Try Grilled Citrus Shrimp for a dish that is healthful, simple to prepare and features flavorful Gulf shrimp. Advocate story Aug. 07, 2013 Comments During the sweltering days of summer, local cooks don’t like to turn on their ovens. Instead, they head for the grill. If using Gulf Coast shrimp for a grilling recipe, be sure to properly prepare the shrimp, according to eatgulfseafood.com. Pick the largest size possible, preferably jumbo (yields 10 to 15 shrimp) or colossal (10 shrimp). Devein large shrimp to avoid getting a gritty bite. Marinate or grill with or without the shells. To peel, cut the shell along the back with a sharp knife and remove all but the tail.