In a medium bowl, mix together the rub ingredients. Toss the shrimp in the rub, coating evenly. Marinate at least 30 minutes (can marinate overnight).
Meanwhile, mix the sauce ingredients together and set aside.
Place the shrimp onto water soaked skewers.
Prepare the grill for cooking over direct medium heat. Grill the shrimp until cooked, roughly 5 minutes depending on what size shrimp you use.
Transfer the shrimp to a heating dish (such as an aluminum disposable). Pour sauce over the shrimp, cover with aluminum foil and return to the grill for roughly 5 minutes or until sauce is heated.