The shrimp and sauce finish cooking together on the grill, so prepare the sauce ingredients while the grill is heating, then carry them out to the grill with you. To fit all of the shrimp on the cooking grate at once, you'll need three 14-inch skewers. Wooden skewers will likely burn. Serve with grilled crusty bread brushed with olive oil as an appetizer. Add rice salad or couscous for a main course.