One way to keep grilled shrimp from drying out is to grill them in their shells
This requires direct grilling, ensure your coals are in a even layer
Soak bamboo skewers in water before putting them on the grill
To devein the shrimp in their shells, use kitchen shears to make a lengthwise cut down the back of each shrimp. Once the shell is cut, you can pull the vein out with your fingers or with a fork.
Skewer the shrimp. To ensure even grilling, position all the shrimp facing the same direction. You may want to use 2 skewers or two-pronged skewers to keep the shrimp from flipping during grilling.
Cook the shrimp directly over a hot fire. They will be firm and white when fully cooked. This will take 2 - 3 minutes per side