Place shrimp in shallow dish and add lemon zest and juice, garlic, salt, pepper and extra-virgin olive oil. Toss shrimp to coat evenly with dressing. Arrange the arugula in piles of 2 or 3 leaves, working with 6 piles at a time. Pile up 3 slices of prosciutto and cut in half across.
To assemble the shrimp, place 1 shrimp on each pile of 2 or 3 arugula leaves then wrap the leaves up with the shrimp using the prosciutto. Assemble 6 pieces at a time, like an assembly line. Nest a grape tomato into the curve of the prosciutto wrapped shrimp and secure into place with a party pick.
Arrange the shrimp appetizers on a platter and don't forget to put out a small empty bowl near the shrimp platter to collect the tails of shrimp and party picks, once guests finish the appetizers.