When I BBQ shrimp, I clean them the day before. Then they get fresh lemon and salt and pepper for 30-45 mins. After that they go in a plastic bag to marinade in my favorite BBQ sauce and into the refrigerator. It is very simple.
I usually don't make my own BBQ sauce, but you could always do that as well. Some people also prefer to cook shrimp uncleaned. Either way it can be done the same way.
If you don't want them marinaded in BBQ sauce or anything, just do the lemon, salt and pepper and then cook them in the grill brushed in melted butter.
To cook them on the grill I soak wooded skewers for a few hours put 4-5 shrimp on a skewer and cook them over very low heat for a few minutes. It doesn't take long to cook them at all. I also brush the grill with butter so they don't stick!
Good luck and happy eating!!