Shrimp and sauce: Over a medium heat saute shallots, leeks and andouille sausage in oil. When leeks and shallots turn translucent add the hot sauce, Worcestershire sauce and lemon juice. Reduce by half. Add the 1/2 cup white wine and tomato puree and reduce. Add the shrimp and saute until cooked. Remove from heat and stir in 2 tablespoons of butter. Season with salt and pepper, to taste.
Grits: Bring 2 cups water, 2 cups milk, 2 tablespoons butter and 1 tablespoon salt to a simmer in a medium nonreactive saucepan. Slowly whisk in grits, when incorporated reduce heat to low. Cook 30 to 45 minutes stirring frequently. When grits reach desired consistency remove from heat fold in the cheese. Season with salt and pepper, to taste.
To serve: Serve the shrimp and sauce over a bed of grits and enjoy!