Grill, covered with grill lid, over medium-high heat (350° to 400°) 3 minutes on each side or just until shrimp turn pink, basting occasionally with reserved 3 Tbsp. marinade. Serve shrimp with lime wedges.
Oven method: Omit wooden skewers; combine shrimp and next 6 ingredients in a 13- x 9-inch baking dish. Bake at 450° for 10 to 12 minutes or just until shrimp turn pink.