The shrimp are supposed to be cooked on the grill, but I'm not lugging my little grill out in the snow. I just used a grill pan, which worked fine. I'm sure the flames would add another dimension to the dish, so go for it if you happen to live some place that's not below 30 degrees right now. If you do use a grill, Gourmet recommends skewering the shrimp so they don't fall into the fire. Of course, if there is no fire, there is no need to waste your time skewering up the shrimp. Your choice.