We find our grilling shrimp at the butcher counter at our local grocery store. You will want them to be peeled, deveined, and have the shells removed.
You can also buy frozen bagged shrimp, just be sure they are not pre-cooked. Allow frozen shrimp to thaw completely and pat them dry before beginning. To help them thaw quicker you can place them in a bowl of cold water, changing out the water every so often until they are thawed. Do not use warm/hot water to thaw.
The cayenne pepper is what brings the heat. 2 teaspoons will lend plenty of spice to this recipe, but you can certainly add more or less based on your preferences.
Store any leftover spicy shrimp in an air-tight container kept in the refrigerator for up to 2 days.