Not that I expect you to eat them, but when left on for the cooking process, shrimp shells contribute a depth of flavor that's somewhere between toasty and briny. Cooking unpeeled shrimp is the thing that will really make that shrimp flavor pop, and to reap the benefits, the only thing you need to do is… nothing.
Do You Cook Shrimp With the Shells On? When Poaching shrimp, you should leave the shells on until after the shrimp are cooked. Leaving the shells on serves two purposes. One, much of the flavor of the shrimp is in the shells. Cooking the shrimp with shells on makes them taste better.
If you prefer a crispy texture, then broiling or grilling is the best way to cook shrimp, but if you desire a softer and more delicate texture, then pan frying the shrimp is the way to go.
The shrimp in a shrimp cocktail should be served peeled and are usually small enough to be eaten in one bite. The traditional utensil is an oyster fork, although any small fork will do. If the shrimp are bigger than one bite's worth, just spear each shrimp with your fork and cut it on the plate on which it's served.
Steam until the shrimp they curl and turn bright pink. Steam for 4 to 6 minutes for 1 to 2 pounds of shrimp. Immediately remove the steamer from the pot. The shrimp should have changed color and be firm to the touch but still give a little.
Not that I expect you to eat them, but when left on for the cooking process, shrimp shells contribute a depth of flavor that's somewhere between toasty and briny. Cooking unpeeled shrimp is the thing that will really make that shrimp flavor pop, and to reap the benefits, the only thing you need to do is… nothing.
For a really great shrimp cocktail, you want to go with large shrimp. I use a 21-25 count, which means there are 21-25 shrimp per pound. Buy them deveined but uncooked. Easy-peel or already peeled is fine.