Remove legs from shrimp, but do not peel. Using a paring knife, cut several slits lengthwise along inner curve of each shrimp. Insert 2 or 3 small sprigs of rosemary into each slit. In a large bowl, whisk together garlic, oil, lemon juice, and salt and pepper to taste. Toss shrimp in marinade, coating well.

Add more rosemary sprigs and the lemon slices. Marinate for 1 to 2 hours. Drain shrimp, and grill for about 3 minutes on each side, or until they begin to curl and are opaque.