How to Make It
Preheat the oven to 450° and light the grill, if you're using one. In a small bowl, stir together the olive oil and garlic.
Cut the pointed ends from the lemons so they will sit flat, then halve them crosswise. Set them flesh side up in a glass or ceramic baking dish and spoon 1 tablespoon of the sugar on each half. Bake for 10 to 15 minutes, or until the sugar is melted and the pulp is soft. Preheat the broiler, if using.
Sprinkle the chopped yarrow inside the shrimp and pinch closed. Brush the shrimp with the garlic oil and season with salt and cayenne. Grill or broil the shrimp 2 to 3 minutes per side, or until opaque. Squeeze some of the lemon juice over the shrimp and garnish with the yarrow sprigs. Serve at once with the baked lemons.