Peel shrimp, leaving tails intact.
Place them in a shallow baking dish, spread relish over them, and allow to marinate for at least 1 hour before grilling.
Thread a lemon wedge, 4 to 5 shrimp, and another lemon wedge on individual metal or bamboo skewers.
Turn skewers in relish to coat well.
Place skewers on a grill about 4 to 6 inches from hot coals and grill for about 3 minutes, turning once, and basting once or twice with the relish marinade.