Preheat griddle or grill pan over high heat.
Butterfly shrimp by slicing almost through lengthwise, but leave shell on shrimp, this will keep the shrimp tender while grilling over such high heat.
Brush shrimps with oil, season with salt and pepper and grill 2 minutes on each side, until shells are hot pink and shrimp is opaque.
Place lemons on grill the last minute. The heat will release the juice from the lemons. To serve, squeeze grilled lemon wedges over shrimp.