Arrange about 4 shrimp on each skewer and add to a 13 by 9-inch casserole dish.
Add the olive oil, garlic, lemon juice, smoked paprika, cayenne, Worcestershire, hot sauce, salt and pepper, to taste, to a measuring cup. Whisk well and pour over the shrimp in the casserole. Cover the dish and let the shrimp marinate in refrigerator for 20 minutes.
Preheat the grill to medium-high heat.
Grill the shrimp skewers over medium-high heat for about 4 minutes total, flipping once halfway through. Add the baguette to the grill and toast.
Remove the shrimp from the grill and add to the butter sauce, discarding the skewers. Toss to coat the shrimp in the Butter Sauce.
Spread both sides of bread with the Sweet Pickle Mayonnaise and top evenly with the shrimp, shredded lettuce and sliced tomatoes. Slice the baguette in fourths, if desired, and serve immediately.
Melt the butter in a small saucepan on the grill grates. Add the lemon juice, hot sauce and Worcestershire. Stir together with a wooden spoon until well mixed. Remove from heat and set aside.
Sweet Pickle Mayonnaise:
Add all the ingredients to a bowl and mix well. Cover and refrigerate until needed.
Don't crowd the shrimp onto the skewer. Allow a little space between, so they cook evenly.