Remove the shell from the shrimp, but leave the tail intact. Devein with a deep cut, but no not sever the two halves of the shrimp. Mix the sherry with a pinch or two of salt and toss with the shrimp. Put aside while batter is being prepared.
Mix the Wondra, baking powder, and salt together and add the peanut oil slowly while beating to mix thoroughly. When the dough forms a lump, add the water, a little at a time until the batter is the consistency of light cream. Heat the oil for deep frying in a wok to 360-370*. Place the shrimp on a paper towel.
Take a shrimp by the tail and coat with batter-not the tail, please. Drop the shrimp into the hot oil. Repeat with all the shrimp, removing them to drain as they become golden brown and puffy. Serve at once, or place in a warm (about 150*) oven to keep warm.