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In a 1 gal plastic food bag place shrimp and olive oil, toss to coat, sprinkle enough rub to lightly coat the shrimp. The bag should look dark red. Refrigerate for 1-4 hrs, the longer you wait the hotter they'll be.
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Light the grill and while it's heating place shrimp on skewers.
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When coals are very hot, clean the area that the shrimp will be on and rub with a bit of canola oil on a rag (use a mitt please).
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Immediately place shrimp on greased grill for 2-3 minutes, turn and cook an additional 2-3 minutes.
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Remove from skewers and serve hot. No dipping sauce required.
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This rub works well on chicken wings too!