sometimes I leave the shells on... for moisture...
but at other times, when I make a sauce (usually a white sauce), like for shrimp scampi over pasta...
I will make a stock from the shells (tails removed also) for the sauce base (only takes about 10 minutes)...
I use chicken stock also... not water...
add some half & half... oregano & basil & thyme & onions... and thicken with arrowroot or wondra & butter... YUMMM!!!