Combine first 6 ingredients in a large bowl. Add shrimp; toss to coat. Cover and marinate in refrigerator 10 minutes.
Place bay leaves and lemon wedges in a large bowl. Coat with cooking spray; toss to coat.
Thread 4 lemon wedges, 4 shrimp, and 4 bay leaves alternately onto each of 8 (10-inch) skewers. Place skewers on grill rack coated with cooking spray; grill 2 minutes on each side or until shrimp are done.