Chilled Peel-and-Eat Shrimp With Dipping Sauces: Prepare recipe as directed. Apricot is a flavor that works well as a dipping sauce option. Prep: 10 min., Cook: 5 min., Chill: 2 hr. How to Make Spicy Apricot Dipping Sauce. To cook shrimp, first make sure you have shrimp with the shell on! Once boiling, remove from heat and pour shrimp into the hot water. Boil about 5-6 cups of water and a dash of salt in a pot. Serve with sauces. Cover and chill 2 to 24 hours. This will help insulate the shrimp from the heat. Place cooked shrimp in a glass bowl.