Add the shrimp to a large bowl and toss with olive oil, lemon juice, and spices. Let marinate for 15 minutes for the flavors to soak in. Don't soak for longer or the lemon will begin to cook the shrimp.
Preheat the grill to medium high heat. When ready to grill, thread the shrimp onto skewers to cook. The shrimp can also be cooked directly on the grill, but since they are small they sometimes fall through the grates. You can also place them on a piece of foil or in a grill basket.