Method

Peel and devein shrimp, setting shrimp aside in a bowl. Store the shrimp in the refrigerator in the time being. Reserve the shells and bring them to a boil with 3 cups of water, bay leaf, peppercorns, and 1/2 teaspoon of salt. Reduce heat to medium low and simmer for 10 minutes. Strain well through a mesh sieve.

In a saucepan, bring the milk and 1 cup of the shrimp broth to a boil. Add 1/2 teaspoon of salt and slowly stir in the grits. Reduce heat to low and whisk well and every so often, covering to reduce splattering. Grits will take about 45 minutes to cook.

In the meantime, begin the roux. Heat oil in a Dutch oven over medium heat. Stir in flour and cook until golden brown, about 8 minutes. Add in your “Holy Trinity” (the onion, celery, and bell peppers) along with the minced garlic. Stir well and cook until tender, about 5 minutes. Add in about 1 cup of the shrimp broth, tomato paste, oregano, thyme, paprika, Worcestershire, and hot sauce. Start off with 1 teaspoon of salt and freshly cracked pepper, add more according to taste. Reduce heat to low and cook for another 25-30 minutes. Ladle in more broth to get desired consistency. Add in shrimp and allow to cook in the sauce for about 10 minutes.

Keep an eye on the consistency of the grits. Add in some of the remaining shrimp broth or a little more milk if you prefer creamier grits. Season with salt, pepper, and a little hot sauce if desired. Just before serving, stir in the cheese. Spoon into bowls and ladle the shrimp and gravy over top.