Cleaning shrimp at home yourself can save you some bucks. Here's a simple way about it.
At the very top of third shell from the top of the shrimp, push down towards the tail with your thumb nail. The rest of the shell will come right off. The trick is at the third shell.
Now that the shell is off, you can use a paring knife to wedge under the vein in the middle of the shrimp's back. Lift your knife up like a lever and the whole vein will come right out.
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After shelling shrimp, use a medium size crochet hook to remove the vein. Not only does it slide easily into the space, but the hook end can be use to pull the vein out so you never have to touch it.