Toss the shrimp with the garlic, half of the lemon juice, the oregano, a fat drizzle of EVOO, a few shakes hot sauce, the parsley and some salt and pepper. Wrap each shrimp in a slice of ham.
Drizzle some olive oil in a large skillet and heat over medium-high to high heat. Add the shrimp and cook until the ham is brown and crisp and the shrimp are firm and pink at the ends. Remove the shrimp to a platter. Pour the sherry in the pan, swirl, then add the butter and the remaining lemon juice, and swirl to gloss the sauce. Pour the sauce over the shrimp and serve.