For the shrimp: Prepare a grill to medium-high heat.
Mix all the ingredients except for the shrimp in a 1-gallon zip lock bag. Add the shrimp and marinate in the refrigerator for up to 6 hours.
Remove the shrimp from the marinade and place on the grill. Cook until the meat is opaque. Remove from heat and cool immediately. Cut each shrimp into 4 pieces.
For the cocktail sauce: Mix all the ingredients together.
Add the shrimp to the sauce. Mix together and serve in a martini glasses with slices of lime and saltine crackers.