One thing I learned with kabobs is that typically if you use wooden skewers, you want to soak them really well in water. If you are using a Traeger and won't be grilling over 400 degrees and not for super long periods of time, you can skip it.

If you'll be grilling on high heat on a regular grill I'd definitely soak that.
I generally start soaking them in water for about 30 minutes before you fire up your grill. If you don't, on a traditional grill that gets well above 500 degrees in many cases, when you put your screwers on the grill they can burn up and possibly catch on fire. If they are saturated with water, the wood will stay wet through the cooking process and will withstand the heat.

Buy uncooked shrimp and thaw well under cool water before skewering. If you have access to fresh-caught, never-frozen shrimp, well – I kind of hate your good fortune but use those and think of me while you do it. 

You can grill with or without shells on your shrimp. I prefer to peel the shrimp so that I can season it properly. I remove the shells and devein it, and then season with a dry rub or liquid marinade. Peeling the shrimp helps penetrate the meat better with the seasoning, so it is more flavorful.

If you are making a sauce though, save those shells and give them a quick saute in butter and use that in your sauce! You can also give them a slow simmer in a bit of water to grab some of that awesome seafood flavor from the shells in your sauce. 

I'm a bit advocate for respecting the animals we are consuming by wasting as little as possible. Unless we are talking digestive tracts or some of the weirder organs. That's where I peace out. Bizarre Foods contender, I am not. Plus, shellfish shells are filled with flavor! I NEED ALL THE FLAVOR.

For grilling, getting a larger shrimp like the jumbo or colossal size is my recommendation. Smaller shrimp will cook faster and have less of a margin for error. What you are usually left with is super over-cooked shrimp. Larger shrimp allows a more even cook, and within minutes your shrimp is ready to be served.

When grilling, if you have a grill that you can adjust the heat on you should aim for 375-400 degrees. Make sure the grill is preheated, and nice and hot.
Shrimp is meant to be cooked on high heat and quick. Put your shrimp on the grill and cook it for 3-5 minutes (depending on the size of shrimp). Turn the shrimp halfway through the cooking process. You want the outside of the shrimp to be a pretty pink color. The meat should look white and have an opaque look. If you overcook the shrimp, it will become tough and rubbery.

If you are using a liquid marinade that has some acidic components like lime, lemon, or even orange, you want around 30 minutes for marination. The acid in these will actually start to cook the shrimp ceviche-style if you leave it too long.

For a marinade that doesn't have acidic components, an hour or so works well. An example of this is an olive oil marinade with herbs. If it is a dry rub (like this recipe), you can give it some time while the grill heats up and then toss it on to cook. It doesn't need the time to marinade like liquid marinades