These are best served right after they are grilled.
For people who want their vegetables to be more cooked, briefly saute the vegetables on high heat before marinating them in the pickling liquid and adding them to the skewers.
If you are feeling adventurous, cook some bacon until it is cooked through but still pliable. Wrap the individual shrimp in the cooked bacon strips prior to assembling the skewers and grilling.