While most shrimp available for purchase has already been deveined, taking the DIY route is an easy way to save money. Using a sharp paring knife, cut a vertical slit along each shrimp's shell and into the flesh until you reach the vein. Pry out the grey vein with the tip of your knife, being careful not to slice it into pieces. Return deveined shrimp to an ice bath.
Many chefs recommend cooking shrimp in their shells for extra flavor. If you do decide to remove shells before cooking, store in a zip top bag in your freezer – they make an excellent starter for stock or stew.
Shrimp cooks fast, so you're more likely to overcook it than undercook it. Sauté shrimp until it curls into a "C" shape and turns opaque – if it's tightly wrapped into an "O" shape, it's likely overcooked and will be rubbery.
Absolutely. If you steam, boil or sauté shrimp while it's completely or partially frozen, it will cook unevenly. Thaw overnight in the refrigerator, or under cold running water for about 10-15 minutes.