I live in Wisconsin so I think you know the answer as to whether or not I have grits on hand.[;)]
However, I went exactly the route you suggested with New Orleans “barbecued” shrimp except that I used the recipe from Weber’s Big Book of Grilling, with a few modifications (unfortunately Worcestershire wasn’t one of them, because now that you’ve mentioned it I think it would’ve been a great addition). Time to scrub the perforated grill sheet!
(It’s a good sign if you’re thinking like me. Your family and friends will be amazed by your personal improvement and your life will become immeasurably better.[;)])