Step 1

If using frozen shrimp, first thaw shrimp by placing shrimp in a strainer and running under cold water. Peel shells from shrimp, leaving tail intact and devein shrimp. Rinse.

Step 2

Fill a large pot with about 2 quarts of water. Add lemon quarters, bay leaf, and salt and bring to a boil over high heat. Reduce heat to medium and simmer for 5-8 minutes.

Step 3

Add shrimp and cook until pink and opaque in color and slightly firmed (about 2 minutes). Be careful not to overcook.

Step 4

Remove from heat immediately and run cooked shrimp under cold water until cooled. Cover and refrigerate until ready to assemble your shrimp cocktails (cooking the shrimp can be done up to a day ahead).

Step 5

Fill each glass halfway with cocktail sauce. Place one shrimp in each glass with the tail hanging out over edge of glass. Place a quarter of a lemon slice on the rim of each glass, for garnish. Serve immediately.