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Using small kitchen scissors, cut shrimp shells along the curved backs. Remove vein, keeping shell intact. (Skip this step if using peeled deveined shrimp.) Toss shrimp and next 9 ingredients in a large bowl.
Place four 16x12 sheets of heavy-duty foil on a work surface. Divide shrimp mixture among sheets. Fold all foil edges toward the center to accommodate the liquid; do not crimp. Add 2 Tbsp. butter and 1/4 cup water to each. Crimp tightly to seal. Preheat oven to 325°. Arrange packets in a single layer on a rimmed baking sheet. Alternatively, build a medium fire in a charcoal grill, or preheat a gas grill to medium-high. Bake or grill until shrimp are just opaque in center (carefully open 1 packet to check; steam will escape), about 30 minutes. Carefully cut open packets.
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