- Defrost the shrimp and pop off the tail ends. Set aside. Heat the oil in a skillet over medium heat. Add the onion and saute for about 5 minutes or until translucent. Add the garlic and saute for a few more minutes. Add the spices and cook until they smell really good. Add the tomatoes and shrimp and cook until the shrimp just turn pink and curl up. Season to taste, but go light on the salt because feta is very salty. Top with the feta and the dill and serve.