Preheat outdoor grill for medium heat, and lightly oil the grate.

Thread shrimp onto skewers. Season both sides of shrimp with garlic salt and black pepper; if using cayenne, see Cook’s Note.

Generously coat both sides of shrimp with mayonnaise.

Cook shrimp on heated grill until shrimp are bright pink on the outside and opaque on the inside, and the mayonnaise turns golden brown, 5 to 10 minutes on each side. Serve with lemon wedges.