its delicious, my father used to make this for us all the time until he passed away, we wouldnt bother deveining and peeling them before hand. make sure to have a couple wet wash clothes near by because it can be messy. best part is soaking up the juice with french bread!
My friend's family owns Pascale's Manale, the "inventor" of BBQ Shrimp. I know they give out the bread pudding recipe but I'm not sure about the shrimp.