1. Preheat oven to 350 degrees F.
2. Heat olive oil, butter, garlic, bay leaves, and thyme in a large ovenproof skillet over medium heat until butter melts and garlic and herbs are fragrant, about 5 minutes.
3. Toss shrimp, Worcestershire sauce, salt, paprika, and cayenne in a bowl. Add to skillet along with sherry and transfer to oven. Bake until shrimp curl and are pink, about 10 minutes. Transfer to a serving dish and serve with lemon wedges and bread.
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