Preheat a grill to medium high and oil the grates. Devein the shrimp: Cut through the shell along the back of the shrimp with kitchen shears to expose the vein. Use the edge of the shears or the tip of a paring knife to remove the vein, leaving the shell intact.
Brush the shrimp with olive oil. Grill until the shells are pink and lightly charred, 2 to 3 minutes per side (any exposed meat should be opaque). Remove the shrimp to a platter and sprinkle with sea salt. Serve with lemon wedges.