If it’s a dish with shrimp that aren’t peeled, you can bring them to your mouth with your hands. After that, the remains should be discarded.
If you are eating shrimp skewers as an appetizer, you should soak them in sauce and put them in your mouth straight from the skewer. If the shrimp are too big and you can’t fit them in your mouth, you should take bites. In this case, you shouldn’t soak a bitten shrimp in the sauce.