1. Zest the lemon and add to butter in a small saucepan.
  2. Melt the butter and stir in the lemon juice (this may be done on the corner of the charcoal grill prior to grilling the shrimp).
  3. Peel and devein the shrimp -- leaving the tails on.
  4. Cut the jalapenos into ¾ inch slices, crossways.
  5. Put the tail of the shrimp on a skewer, add a piece of chile and an orange segment, then skewer through the upper end of the shrimp so that it forms a crescent around the chile and orange.
  6. Cover and refrigerate until ready to cook.
  7. Brush the shrimp with lemon butter and cook on a medium charcoal or gas grill with hickory chips, turning once and basting with butter as needed.
  8. If grilling on a stove, add liquid smoke to the lemon butter.
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