Peel shrimp, leaving tails intact, and devein, if desired.
Stir together tequila and next 6 ingredients in a large bowl. Add shrimp; cover and chill 30 minutes.
Alternately thread shrimp, bell pepper, and orange and lime wedges on 8 (10- to 12-inch) skewers.
Grill, covered with lid, over medium-high heat (350° to 400°) 5 to 6 minutes on each side or until done.