Grilling enhances the briny sweetness of shrimp and scallops. Thaw frozen fish and shellfish before grilling; shrimp can be peeled or left in the shell. Grease the grill rack first. Jumbo shrimp and sea scallops can be set directly on the grill, but it is much easier to use a grill basket or thread them onto a skewer. Grill the shellfish about 4 to 6 inches from medium-high coals, turning once and basting occasionally with melted butter, salad dressing or a marinade. Grill for 15 to 20 minutes or until the meat is white and opaque inside.