If you're using frozen shrimp, you'll need to thaw it first. You can leave it in the fridge over night or soak the frozen shrimp in a bowl of cold water for 10-15 minutes. Do not soak in warm or hot water as it can start to cook the shrimp. Drain the shrimp, spread them on paper towels or a clean kitchen towel, and roll them up to remove excess water.