Heat a grill or grill pan. Grill the lemons cut side down over moderately-high heat until nicely charred, about 2 minutes. Transfer to a platter. Grill the skewers over moderately-high heat until the shrimp have turned pink and are opaque and charred around the edges, about 2 minutes per side. Transfer the skewers to the platter with the lemons and brush with the reserved Old Bay butter. Serve right away with grilled bread, if desired.