Source: adapted from Fish and Shellfish Grilled and Smoked by Karen Adler and Judith Fertig
This is just a little bit fussy. Don't worry about wrapping the shrimp perfectly - just slap them together. It will work fine and still be very pretty. Boursin cheese may be substituted for the cheese mixture.
2 pounds large shrimp (18-20 count), peeled and deveined
15 medium-size spinach or arugula leaves
5 slices prosciutto (optional), cut lengthwise into strips
Sea salt to taste
Freshly ground black pepper to taste
1 to 2 tablespoons olive oil
Goat Cheese Spread
8 ounces cream cheese, softened
2 ounces fresh goat cheese or feta cheese, softened
2 cloves garlic, minced
1/4 cup snipped fresh chives
Place the 3 or 4 flavored wood chunks or wood chips in water to soak or the wood pellets in a heavy-duty aluminum foil packet with holes poked in it. Prepare an indirect fire.
Meanwhile, combine the cheese spread ingredients in a medium-size bowl with a wooden spoon or in a food processor. Spoon 1 tablespoon of the cheese mixture onto each shrimp. Wrap half of the shrimp loosely with a spinach leaf or slice of prosciutto. Place the shrimp in a disposable aluminum pan. Lightly season with sea salt and pepper, then drizzle lightly with olive oil.
When ready to smoke, if using a kettle grill or charcoal smoker, place the drained wood chunks or foil packet on the coals; in an electric smoker, place the chunks or packet beside the heating element. Fill the water pan with water and place the pan in the smoker. If using a gas grill, place the drained wood chips or foil packet in the back of the grill.
Place the wrapped shrimp on the smoker rack, close, and smoke until they have a pleasant smoky aroma, about 30 minutes.