When you buy shell-on shrimp, the vein may already have been removed by a machine. The bag will likely say "deveined" or "E-Z peel," but the telltale sign will be a slit down the back shell.

Devein the shrimp: Use a small, sharp knife to make an incision along the back of each shrimp, cutting through the shell, and remove the dark “vein.” Pat shrimp dry with a paper towel and ...

He prefers grilling head-on shrimp in the shell because they're less likely to dry out. Learn How to Devein Shrimp and Save Yourself a Few Bucks Is it better to grill frozen or thawed shrimp?