Use Head-On Shrimp Whenever Possible
When doing anything with shrimp that involves making chowders, stews, or sauces, find head-on shrimp for the most spectacular results. The shrimp head is the depository of much mellow orange fat, which enriches a seafood chowder or fumet as surely as butter, and imparts a visual orange glow.
The shrimp should be boiled in salted water for only a few minutes, then removed and the broth or gravy cooked down for an additional 15 minutes. The shrimp should be plunged in cold water to halt the cooking process. When cool, they can be beheaded, shelled, and deveined, and put to whatever use you intended.
In my case, I was making a version of the Low Country Carolina classic Shrimp 'n' Grits. Using head-on shrimp (along with bacon fat, scallions, and flour) to make the sauce added an orange tint and tons of flavor.