Using small, sharp scissors, snip along the top ridge of each shrimp shell. Using a small knife, cut into the top surface of the shrimp to reveal the vein, then rinse it away.
In a food processor, mince the garlic, shallots, oregano and thyme. Add the butter, Worcestershire sauce, salt, and peppers and process until thoroughly blended. Fit the Creole Butter between the shell and shrimp and refrigerate. Set aside the lemon wedges. The recipe up to this point can be completed 8 hours in advance of cooking.
Preheat a gas grill to medium (350#161#F). When the grill is preheated, brush it with oil, then place the shrimp on the grill. When the shells turn pink on the underside, turn the shrimp over. Cut into a shrimp to test for doneness. The shrimp are done when the shells turn pink and the shrimp meat has lost its raw inside color, about 6 minutes. (Alternatively, preheat the oven to 500#161#F. Then turn the oven setting to broil and broil the shrimp 10 cm from the heat for about 6 minutes.) Serve the shrimp immediately on 4 heated dinner plates accompanied by lemon wedges and napkins.