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1. Mix olive oil, wine, lemon juice, salt, pepper, cayenne and garlic in a bowl. Add shrimp and toss to coat. Marinate in the fridge for an hour or two (no longer or the lemon juice will start to "cook" the shrimp).
2. Heat barbeque to medium heat and cook shrimp until just cooked through, about 3 minutes on each side. Remove and garnish with lemon wedges. (Shrimp can also be cooked on skewers if desired)