If you can buy shrimp with the heads on all the better. After you peel and de-vein the shrimp, place them in a bowl of icy cold water with salt (sea salt preferred). The water should be as salty as the sea (same as pasta water). Let the shrimp soak for about 15-20 minutes and then rinse thoroughly. Then proceed with your recipe. This gives the shrimp a better texture and fresher taste. The heads and shells can be boiled down to make a great shrimp stock.
I buy my fresh shrimp from local shrimpers the day they are caught. I have a choice of heads on or heads off. Heads on are cheaper but require too much work if intending to freeze them. I buy heads off but request several pounds of heads. I take the heads home and make shrimp broth with them. I then freeze about 2-3 cups at a time in ziplock bags to use when needing liquid (water, broth, beer, etc.) in shrimp dishes. Also, I freeze fresh shrimp in freezer bags with water added. I freeze jumbo’s 12 to a bag so know exactly how many I am taking out of the freezer for parties.
Any fish market that buys fresh shrimp should be able to get you heads at NO $$$$