Find recipes for Coconut Shrimp and other Course recipes. Get all the best recipes at . Recipe directions: Peel and devein shrimp, leaving tails intact. Make a slit down inner curve of each shrimp, starting with the tail; press lightly to flatten. In a shallow dish, combine the cornstarch, salt and cayenne; set aside. In a bowl, beat egg whites until stiff peaks form. Place the coconut in another shallow dish. Coat shrimp with cornstarch mixture; dip into egg whites, then coat with coconut.