Soak a container of wooden skewers in room temperature water for 1 hour.
Preheat a grill or grill pan to high heat and oil the grates. While grill or grill pan is pre-heating, thread 3 shrimp per skewer, brush with oil and season with salt and pepper. Add the skewers to grill or grill pan and grill for 2 ½ minutes on each side (until pink and cooked through). Add the lemon halves to the grill for the last 2 ½ minutes.
Serve the skewers with the grilled lemon halves.