We have tested both sweetened and unsweetened coconut. We have found that sweetened coconut adds more coconut flavor to the finished shrimp. However, if you are concerned about sugar content, you can use unsweetened coconut flakes instead.
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 optional.