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In a medium saucepan, heat the Crisco Pure Canola Oil over medium heat. Add onion and garlic and a dash of salt; cook about 2 minutes. Add the ketchup, brown sugar, Worcestershire sauce, Creole seasoning and water. Stir well and bring to a simmer.
Cook for about 5 minutes; cool to room temperature. Place shrimp in a large non-reactive bowl; pour 1/2 the cooled sauce over. Toss to coat; refrigerate 1 to 2 hours.
Heat the grill. Grill the shrimp, about 5 minutes per side, until done. Place on a platter and pour the remaining heated sauce over; garnish with lemon wedges.