We find our grilling shrimp at the butcher counter at our local grocery store. You can also buy frozen bagged shrimp, just be sure they are not precooked. Allow frozen shrimp to thaw before beginning.
Blackened shrimp gets its heat from the cayenne pepper in the spice blend. The cayenne pepper is optional, but it does add an extra element of flavor without being overbearingly spicy. If you want a little kick, only add a pinch of cayenne or omit it altogether.