Set up your grill for direct grilling and heat to medium-high.
In a mixing bowl, combine the olive oil, lemon zest and juice, sherry, garlic, paprika, and salt and pepper to taste (about 1/2 teaspoon of each). Whisk to emulsify. Add the shrimp and stir gently to coat.
Tear off a 12- by 20-inch piece of Reynolds Wrap® Non-Stick Foil. Place it dull side up (non-stick side) on your workspace. Arrange the shrimp in the center in a single layer. Bring the long edges of the foil together. Fold twice. Next, fold the short edges twice to completely enclose the shrimp.
Place the foil packet on the grill grate and grill, turning once or twice, until the shrimp are pink and opaque, 8 to 10 minutes, depending on the size of the shrimp. Open the packet carefully and dot with the butter cubes. (The butter will melt into the sauce.) Sprinkle with the parsley. Serve with crusty bread.