Add the olive oil, kosher salt, black pepper, garlic powder, smoked paprika, and cayenne. Toss to coat.
Thread the shrimp on six skewers, about 8 shrimp per skewer.
Grill the shrimp until opaque, about 3 minutes on each side. If using a dual-contact grill, grill them for 5 minutes. Serve immediately.
Video
Notes
Since shrimp are so small and delicate, your top priority as a cook is to avoid overcooking them. Obviously, you want them fully cooked. But do take them off the grill the moment they're no longer translucent.
If using wooden skewers, soak them in water for 20 minutes before using them.
I don't recommend using small or medium shrimp for grilling. It's difficult to thread them on skewers, and they are so small that they can become too dry on the grill. The best shrimp sizes for grilling are large, extra-large, or jumbo. Large and extra-large shrimp will need about three minutes per side on the grill. For jumbo ones, add 30 seconds per side for a total of seven minutes.
Don't expect your shrimp to have grill marks. They cook so fast that there's no time for grill marks to form.
You can keep the leftovers in the fridge, in a sealed container, for up to 3 days. I like to use them cold in a salad. If you prefer to reheat the leftovers, do so gently in the microwave at 50% power.