- To make grits, combine milk with water, butter, and salt in a large saucepan over medium-high heat. Bring to a roaring boil and slowly whisk in the grits. Decrease the heat to medium low. Continue whisking until no lumps remain, about 12 minutes. Decrease the heat to low. Cover the pan and let the grits simmer while preparing shrimp.
- To prepare shrimp, heat a medium pan over medium-high heat.
- Toss shrimp with oil in a small bowl and season lightly with salt and pepper.
- Add shrimp to hot pan and cook, stirring, until just pink throughout, 2−4 minutes, depending on size of shrimp.
- Turn off heat and squeeze lemon over the top to release all the good bits from the pan to make a light, flavorful sauce.
- To serve, remove grits from heat and stir in grated cheese. Divide among four shallow bowls and top with shrimp and pan sauce. Serve hot.