Preparation Whisk oil, garlic, thyme, smoked paprika, Sherry wine vinegar, salt, black pepper, and crushed red pepper in medium bowl to blend for glaze. Transfer half of glaze to small bowl and reserve for serving. Alternately thread shrimp, sausage pieces, cherry tomatoes, and sections of onion wedges on each of 6 long metal skewers. Arrange skewers on large rimmed baking sheet. DO AHEAD: Can be made up to 6 hours ahead. Cover and chill skewers and bowls of glaze separately. Coat grill rack with nonstick spray and prepare barbecue (medium-high heat). Brush skewers on both sides with glaze from 1 bowl. Grill until shrimp are opaque in center, turning and brushing occasionally with more glaze, 6 to 8 minutes. Arrange skewers on platter. Serve with remaining bowl of glaze. * Sometimes labeled Pimentón Dulce or Pimentón de La Vera Dulce; available at some supermarkets, at specialty foods stores, and from latienda.com. Test-kitchen tip:If you're using bamboo skewers instead of the metal kind, be sure to soak them for at least an hour before grilling. Unsoaked skewers will burn on the grill.