In a large cast-iron skillet, combine olive oil, butter, garlic, bay leaves, and thyme. For a charcoal grill, place skillet on the rack of an uncovered grill directly over medium coals for 3 to 5 minutes or until butter melts, stirring occasionally. In a medium bowl, combine sherry, paprika, Worcestershire sauce, and kosher salt. Add shrimp. Toss to combine. Add shrimp mixture to the hot skillet. Cook and stir shrimp for 3 to 5 minutes or until shrimp are opaque. (For a gas grill, preheat grill. Reduce to medium heat. Place skillet on grill rack over heat. Grill as above.)
Transfer shrimp and sauce mixture to a serving dish. Have your guests remove the shells, if present, from the shrimp as they eat them. Serve with lemon wedges and French bread slices. Makes 8 servings.