To remove the veins from shell-on shrimp, gently run a paring knife from head to tail along the center of the back to expose the vein. Use the tip of the knife to remove the vein in one piece. Rinse shrimp; pat dry. Also, this dip can be assembled up to 8 hours ahead and stored, covered, in the refrigerator. When it's time to cook, remove the plastic and add 5 to 10 minutes to the baking time.