Using scissors, cut the shrimp shells along the back and rinse away the veins, leaving the shell intact. In a bowl, combine all the remaining ingredients and stir well. Reserve 1/4 cup sauce to sprinkle over the shrimp after they are cooked.
Using your fingers, insert the remaining sauce under the shells and marinate for 1 hour.
If using a barbeque, gas-preheat to 350º; charcoal or wood, prepare a fire. When the grill is ready (woood or charcoal fire is ash-covered) brush the rack with oil and place the shrimp on it. Grill about 2 minutes on each side, brushing with more marinade throughout the cooking process, until the shells turn pink and the shrimp feel firm. Be sure not to overcook the shrimp. Remove from the grill and toss with the reserved marinade.