Prepare the cocktail sauce in a large bowl. Combine the chili sauce, ketchup, lemon juice, sugar, Worcestershire sauce, horseradish, rocoto chile paste, and cilantro, mix well with a rubber spatula, and set aside.
In a large saucepot, fill with water and add the pickling spices, lemon halves, and hot pepper sauce and a generous amount of salt and pepper. Bring to a boil. Skewer the shrimp, from tail to top, 5 per skewer, and add the shrimp to the boiling water. Cook for 5 minutes, remove from the water, plunge into an ice bath, and refresh for 5 minutes until the shrimp are completely cool.
Serve on a platter with a bowl of the dipping sauce in the middle.
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