You should get a lot of different answers to your question, some folks skewer, some cook in a wok or cast iron skillet and some folks are like me and just grill them whole. I generally marinate them and cook in the shells. The shells protect the meat and lock in the most moisture. (plus they look purdy) On the other end of the cook, the shells will help hold some sauce and slow down the pace when eating them. And besides, its fun to eat shrimp with your hands.

As far a cooking times go, it almost impossible to answer that question because of the variables in your fire and size of shrimp, not to mention the small window of perfect doneness with shrimp. With the shells on, it's hard to watch for them turning opaque, so I put a few on 5 minutes early, (pinch their tails off so you can identify them) then add the rest. Watch for them to change color and curl a little. When the early birds feel done, sample one. Once you get one that is done perfectly, you know that in five minutes the rest will be ready.