I use a perforated pan on my grill to ensure the shrimp don’t fall through the grates. They are super easy to find at any hardware store, but if you don’t have one, you can skewer the shrimp together using metal or bamboo skewers. If you use bamboo skewers, soak them in water for at least 1 hour before grilling.
This recipe is delicious and simple with the grilled shrimp, but you can make this even simpler by using precooked, chilled shrimp. Just add the cooked and chilled shrimp directly to the cocktail sauce mixture, and skip the marinating/grilling steps.