It is not necessary to spray the shrimp with cooking spray, but it does help the breading to brown a bit more.
We use grilling shrimp because of its nice size. We find it in the meat department butcher case. You can also use extra large bagged shrimp that is already peeled and deveined.
Keeping the tails on the shrimp is great for presentation and also provides a handle for picking up the shrimp. This is also optional.